To make your main frame closable with the ESCape key go into the OnLoad function and add the following line :

tinsert(UISpecialFrames,"MainFrameName");

where MainFrameName is the name of your main frame of the application.

ExampleEdit

<Frame name="ExampleFrame" parent="UIParent">
	<Size>
		<AbsDimension x="640" y="512" />
	</Size>
	<Anchors>
		<Anchor point="CENTER" />
	</Anchors>
	<Scripts>
		<OnLoad>
			tinsert(UISpecialFrames, self:GetName());
		</OnLoad>
		<OnShow>
			PlaySound("igCharacterInfoOpen");
		</OnShow>
		<OnHide>
			PlaySound("igCharacterInfoClose");
		</OnHide>
	</Scripts>
</Frame>

DescriptionEdit

self:GetName() returns the current UI Object's name; in this case, the frame's name. This makes the code more flexible.

OnShow and OnHide will play the same sound you hear when you open and close your character frame, respectively.

EditBoxes and OnEscapePressed Edit

EditBox type frames have an "OnEscapePressed" handler, which will prevent this method from working with them. For these frames you can instead use:

 myeditboxframe:SetScript("OnEscapePressed", function(self) self:Hide() end)