exit

If you want to avoid calling exit() in FastCGI as per the comments below, but really, positively want to exit cleanly from nested function call or include, consider doing it the Python way:
define an exception named `SystemExit', throw it instead of calling exit() and catch it in index.php with an empty handler to finish script execution cleanly.
<?php
// file: index.php
class SystemExit extends Exception {}
try {
 /* code code */
}
catch (SystemExit $e) { /* do nothing */ }
// end of file: index.php
// some deeply nested function or .php file 
if (SOME_EXIT_CONDITION)
 throw new SystemExit(); // instead of exit()
?>

jbezorg at gmail proposed the following:
<?php
if($_SERVER['SCRIPT_FILENAME'] == __FILE__ )
 header('Location: /');
?>

After sending the `Location:' header PHP _will_ continue parsing, and all code below the header() call will still be executed. So instead use:
<?php
if($_SERVER['SCRIPT_FILENAME'] == __FILE__)
{
 header('Location: /');
 exit;
}
?>

A side-note for the use of exit with finally: if you exit somewhere in a try block, the finally won't be executed. Could not sound obvious: for instance in Java you never issue an exit, at least a return in your controller; in PHP instead you could find yourself exiting from a controller method (e.g. in case you issue a redirect).
Here follows the POC:
<?php
echo "testing finally wit exit\n";
try {
 echo "In try, exiting\n";
 exit;
} catch(Exception $e) {
 echo "catched\n";
} finally {
 echo "in finally\n";
}
echo "In the end\n";
?>

This will print:
testing finally wit exit
In try, exiting

Don't use the exit() function in the auto prepend file with fastcgi (linux/bsd os).
It has the effect of leaving opened files with for result at least a nice "Too many open files ..." error.

Note, that using exit() will explicitly cause Roxen webserver to die, if PHP is used as Roxen SAPI module. There is no known workaround for that, except not to use exit(). CGI versions of PHP are not affected.

These are the standard error codes in Linux or UNIX.
1 - Catchall for general errors
2 - Misuse of shell builtins (according to Bash documentation)
126 - Command invoked cannot execute
127 - "command not found"
128 - Invalid argument to exit
128+n - Fatal error signal "n"
130 - Script terminated by Control-C
255\* - Exit status out of range

To rich dot lovely at klikzltd dot co dot uk:
Using a "@" before header() to suppress its error, and relying on the "headers already sent" error seems to me a very bad idea while building any serious website.
This is *not* a clean way to prevent a file from being called directly. At least this is not a secure method, as you rely on the presence of an exception sent by the parser at runtime.
I recommend using a more common way as defining a constant or assigning a variable with any value, and checking for its presence in the included script, like:
in index.php:
<?php
define ('INDEX', true);
?>

in your included file:
<?php
if (!defined('INDEX')) {
 die('You cannot call this script directly !');
}
?>

BR.
Ninj

Calling 'exit' will bypass the auto_append_file option.
On some free hosting this risks you getting removed, as they may be using for ads and analytics.
So be a bit careful if using this on the most common output branch.

When using php-fpm, fastcgi_finish_request() should be used instead of register_shutdown_function() and exit()
For example, under nginx and php-fpm 5.3+, this will make browsers wait 10 seconds to show output:
<?php
 echo "You have to wait 10 seconds to see this.<br>";
 register_shutdown_function('shutdown');
 exit;
 function shutdown(){
 sleep(10);
 echo "Because exit() doesn't terminate php-fpm calls immediately.<br>";
 }
?>

This doesn't:
<?php
 echo "You can see this from the browser immediately.<br>";
 fastcgi_finish_request();
 sleep(10);
 echo "You can't see this form the browser.";
?>

If you are using templates with numerous includes then exit() will end you script and your template will not complete (no </table>, </body>, </html> etc...). Rather than having complex nested conditional logic within your content, just create a "footer.php" file that closes all of your HTML and if you want to exit out of a script just include() the footer before you exit().
for example:
include ('header.php');
blah blah blah 
if (!$mysql_connect) {
echo "unable to connect";
include ('footer.php');
exit;
}
blah blah blah
include ('footer.php');

Beware if you enabled uopz extension, it disables exit / die() by default. They are just "skipped".
https://www.php.net/manual/en/function.uopz-allow-exit.php 

In addition to "void a t informance d o t info", here's a one-liner that requires no constant:
<?php basename($_SERVER['PHP_SELF']) == basename(__FILE__) && die('Thou shall not pass!'); ?>

Placing it at the beginning of a PHP file will prevent direct access to the script.
To redirect to / instead of dying:
<?php
if (basename($_SERVER['PHP_SELF']) == basename(__FILE__)) {
 if (ob_get_contents()) ob_clean(); // ob_get_contents() even works without active output buffering
 header('Location: /');
 die;
}
?>

Doing the same in a one-liner:
<?php basename($_SERVER['PHP_SELF']) == basename(__FILE__) && (!ob_get_contents() || ob_clean()) && header('Location: /') && die; ?>

A note to security: Even though $_SERVER['PHP_SELF'] comes from the user, it's safe to assume its validity, as the "manipulation" takes place _before_ the actual file execution, meaning that the string _must_ have been valid enough to execute the file. Also, basename() is binary safe, so you can safely rely on this function.

Be noticed about uopz (User Operations for Zend) extension of PHP. It disables (prevents) halting of PHP scripts (both FPM and CLI) on calling `exit()` and `die()` by default just after enabling the extension. Therefore your script will continue to execute.
Details: https://www.php.net/manual/en/uopz.configuration.php#ini.uopz.exit 

>> Shutdown functions and object destructors will always be executed even if exit is called.
It is false if you call exit into desctructor.
Normal exit:
<?php
class A
{
 public function __destruct()
 {
 echo "bye A\n";
 }
}
class B
{
 public function __destruct()
 {
 echo "bye B\n";
 }
}
$a = new A;
$b = new B;
exit;
// Output:
// bye B
// bye A
?>

// Exit into desctructor:
<?php
class A
{
 public function __destruct()
 {
 echo "bye A\n";
 }
}
class B
{
 public function __destruct()
 {
 echo "bye B\n";
 exit;
 }
}
$a = new A;
$b = new B;
// Output:
// bye B
?>

NOTE!!!
If module UOPZ (User Operations for Zend) is installed and active - function exit() is disabled by this module by default. So call to exit() function will NOT terminate program. This can lead to unpredictable and unexpectable results. See description of function uopz_allow_exit() for details.