Creo hilo conBackgroundWorker, y en el bucle compruebo cada vez siCancellationPending es cierto o no, así:

   public MainPage()
    {
        InitializeComponent();

        bw = new BackgroundWorker();
        bw.WorkerReportsProgress = true;
        bw.WorkerSupportsCancellation = true;
        bw.DoWork += new DoWorkEventHandler(bw_DoWork);
        bw.ProgressChanged += new ProgressChangedEventHandler(bw_ProgressChanged);
        bw.RunWorkerCompleted += new RunWorkerCompletedEventHandler(bw_RunWorkerCompleted);
    }

    private void ButtonStart_Click(object sender, RoutedEventArgs e)
    {
        if (bw.IsBusy != true)
        {
            bw.RunWorkerAsync();
        }
    }

    private void ButtonCancel_Click(object sender, RoutedEventArgs e)
    {
        if (bw.WorkerSupportsCancellation)
        {
            bw.CancelAsync();
        }
    }

    private void bw_DoWork(object sender, DoWorkEventArgs e)
    {
        BackgroundWorker worker = sender as BackgroundWorker;

        for (int i = 1; i <= 100; i++)
        {
            Debug.WriteLine("The tread is working");
            if (worker.CancellationPending)
            {
                e.Cancel = true;
                bw.CancelAsync();
                break;
            }
            else
            {

                System.Threading.Thread.Sleep(500);
                worker.ReportProgress(i);
            }
        }
    }

    private void bw_RunWorkerCompleted(object sender, RunWorkerCompletedEventArgs e)
    {
        if (e.Cancelled)
        {
            tbProgress.Text = "Canceled";
        }
        else if (e.Error != null)
        {
            tbProgress.Text = "Error: " + e.Error.Message;
        }
        else
        {
            tbProgress.Text = "Done";
        } 
    }

    private void bw_ProgressChanged(object sender, ProgressChangedEventArgs e)
    {
        tbProgress.Text = e.ProgressPercentage.ToString() + "%";
    }

Cuando la aplicación está desactivada, el hilo no se cerró, se cancela y se produce la excepción. Cómo cerrar hilos conBackgroundWorker cuando la aplicación está desactivada?