Bind a key to close game

 // Quits the player when the user hits escape
     function Update () {
         if (Input.GetKey ("escape")) {
             Application.Quit();
         }
     }

http://docs.unity3d.com/ScriptReference/Application.Quit.html

you make a empty gameobject and attach this script to it script:

C#: public KeyCode yourButton;

 void Start()
 {
     DontDestroyOnLoad(gameObject); //this makes the GameObject go through all the scenes. That means, this will work in every scene in the game.
 }
 
 void Update()
 {
     if (Input.GetKeyDown(yourButton))
     {
         Application.Quit();
         Debug.Log("Application has been quit!");
     }
 }

JavaScript:

 #pragma strict
 
 var yourButton : KeyCode;
     
 function Start()
 {
     DontDestroyOnLoad(gameObject); //this makes the GameObject go through all the scenes. That means, this will work in every scene in the game.
 }
 
 function Update()
 {
     if(Input.GetKeyDown(yourButton))
     {
         Application.Quit();
         Debug.Log("Application has been quit!");
     }
 }