My "favorite" thing is when you hit Ctrl-C, and Vim says "Type :quit<Enter> to exit Vim". Vim isn't dumb. It knows what Ctrl-C means, it knows what you wanted to happen. But it's gonna make you do it its way anyway, because fuck you.
If it just exited with Ctrl-C, you'd never get to know about the : magic.
Not to mention Ctrl-C is ambiguous. What to do: Exit and save? Exit without saving? What if it's a new file? And probably others I'm not thinking about right now.
Python 2.7.9 (default, Mar 1 2015, 12:57:24)
[GCC 4.9.2] on linux2
Type "help", "copyright", "credits" or "license" for more information.
>>> quit
Use quit() or Ctrl-D (i.e. EOF) to exit
>>> :'a,'b!longrunningcommand
oh, wait, that was not the right thing... C-<longrunningcommand finishes>c