The listener provides parenthesis matching. Hitting the tab key indents code to an appropriate level. The listener follows standard Windows 3.1 conventions for handling arrow keys, cut and paste accelerators, etc.. In addition, hitting SHIFT-ENTER moves the cursor to the end of the current input expression.
Hitting and holding down CONTROL-BREAK should interrupt the current calculation. You may need to wait a bit since key events are only checked periodically during calculations.
Closing the listener is equivalent to minimizing it; you cannot remove the listener. Minimizing a graphics window is equivalent to hiding (i.e. sending it the :hide-window message). Closing a graph window removes it.