It depends on what the thread is doing.
For my worker threads, I usually put them into an endless loop, having them check a boolean flag at each iteration (ie.. bool _stop)..
When i want them to stop (ie.. shutting down, etc), I set the stop flag to true and do a Join() on their thread.
This lets me cleanly stop my worker threads, without resorting to kills, aborts, etc.
As a general rule, you should stop all your threads when stopping your application.
