A level of consistency has been added to just how the enter and the escape keys work in different areas of Solidworks 2009. In past versions, you simply couldn't hit the ESC key to exit a command, and using the enter key would accept and close others. Here is a quote from the what's new guide:
This addition really does make workflow better, and there is ongoing discussion as to where else it should or shouldn't work. Stay tuned to the Solidworks forums as I'm sure the discussion will be picked up there once service pack 0.0 is released.