Actually that's the same thing that Start -> Shutdown does... haha.
If you add an -f to that it'll be faster, but it will force programs to quit and not give them time to shut down properly which can cause data loss.
The reason why some games block Alt+F4 is probably because games treat the keyboard differently from other apps... you can rebind keys at will. So if someone who doesn't know about Alt+F4 binds a different function to each and tries to use them both at once... welll...
Anyways games that allow you to bind Alt SHOULD block the standard keys since otherwise Alt is near useless as a bindable key anyway (tapping it brings up the menu if the game has one, Alt+Space opens the system menu, Alt+Tab task switches out, etc).
All of these will minimize the game if it's full screen, too. Windowed mode is not as much of a problem, since minimizing causes Windows to swap the game's memory out to disk since it thinks you want to put it aside for awhile, while task switching when it's just a window won't do that.
Weird... C+A+Esc seems to do the same thing as Alt+Esc, which is task switch, but a different kind from Alt+Tab (it instantly switches and provides no feedback other than the change in active window). Yeah I know the shortcut for Task Manager is C+S+Esc, I just wanted to see if C+A+Esc did anything... and it does...
You can also right click on the taskbar and click "Task Manager", or Win+R > taskmgr, or make a shortcut to taskmgr.exe.