I'm surprised nobody mentioned the interrupt mechanism implemented in Java. It's supposed to be a solution to the problem of stopping a thread. All other solutions have at least one flaw, that's why this mechanism is needed to be implemented in the Java concurrency library.
You can stop a thread by sending it an interrupt() message, but there are others ways that threads get interrupted. When this happens an InterruptedException is thrown. That's why you have to handle it when calling sleep() for example. That's where you can do cleanup and end gracefully, like closing the database connection.
