Sometimes an app can freeze. It's not OK on an iPhone, but c'est la vie. Or you can initalize a long operation, and then decide you didn't want that. Anyways there are times you may want to quickly end an app without waiting it to finalize. Usually you see it when you press the home button... but nothing happens.
That's very easy. Simply press and hold the home button until you see the home screen.
When you force-quit an app, some unsaved changes may be lost. In fact some of the saved changes may be lost as well, so be very careful with editing apps.
Force quit is an emergency measure only. Always try quitting the app normally (by pressing the home button once) first.