John, I just found out the following *horrible* idea to allow for undoing :

 private void textBox1_KeyDown(object sender, KeyEventArgs e)
 {
   if (e.KeyCode == Keys.Escape && textBox1.CanUndo)
   {
     textBox1.Undo();
     textBox1.ClearUndo();
   }
 }

...or you can do something sensible like creating an Extender Provider.

This will get added to your toolbox and you can add one of them to any form;
it will hook into the KeyDown event of any and all TExtBoxBase derivatives
on the form if you set the UndoOnEsc property of each TextBox to true :

////////////////////////////
using System;
using System.ComponentModel;
using System.Collections;
using System.Windows.Forms;

namespace // your namespace
{
 [ProvideProperty("UndoOnEsc", typeof(TextBoxBase))]
 public class EditUndoProvider : Component, IExtenderProvider
 {
   private class Properties
   {
     private bool undoOnEsc = false;

     public bool UndoOnEsc
     {
       get { return undoOnEsc; }
       set { undoOnEsc = value; }
     }
   }

   private Hashtable properties = new Hashtable();

   public EditUndoProvider(IContainer parent)
   {
     parent.Add(this);
   }

   bool IExtenderProvider.CanExtend(object obj)
   {
     return obj is TextBoxBase;
   }

   private Properties EnsurePropertiesExists(object key)
   {
     Properties p = (Properties) properties[key];

     if (p == null)
     {
       p = new Properties();

       properties[key] = p;
     }

     return p;
   }

   [Category("Behavior")]
   [Description("Allows Undo when Esc key is pressed")]
   [DefaultValue(false)]
   public bool GetUndoOnEsc(Control c)
   {
     return EnsurePropertiesExists(c).UndoOnEsc;
   }

   public void SetUndoOnEsc(Control c, bool value)
   {
     EnsurePropertiesExists(c).UndoOnEsc = value;

     if (value)
       c.KeyDown += HandleKeyDown;
     else
       c.KeyDown -= HandleKeyDown;
   }

   private void HandleKeyDown(object sender, KeyEventArgs args)
   {
     if (!DesignMode)
     {
       TextBoxBase control = (TextBoxBase) sender;
       if (args.KeyCode == Keys.Escape && control.CanUndo)
       {
         control.Undo();
         control.ClearUndo();
       }
     }
   }
 }
}
////////////////////////

Joanna