This is kind of a silly answer, but it works reliably at least in my case: In management studio, when the "Cancel Executing Query" doesn't stop the query I just click to close the current sql document. it asks me if I want to cancel the query, I say yes, and lo and behold in a few seconds it stops executing. After that it asks me if I want to save the document before closing. At this point I can click Cancel to keep the document open and continue working. No idea what's going on behind the scenes, but it seems to work.