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Your game won't run forever. Even the best games will take a back seat to food and water. There may be a temptation to simply call exit (0) and be done with it. This isn't a wise choice because your DirectX drivers might be left in a bad state, and it could be difficult to tell if your game is leaking resources.
If you don't have a decent exit mechanism, you'll also find it impossible to determine where your game is leaking memory or other resources. After all, a hard exit is basically a huge memory leak, even though the operating system cleans it up. A tight exit mechanism will show you a single byte of leaked memory before returning control to the operating system. This is important for all games, Windows or console.