Is there something stronger than "Force Quit"?
If you know the name of the app, you can check in Activity Monitor to see if it's still running there and try its Force Quit. If that doesn't work, take note of the app's process ID (pid). Go to the Terminal and type kill [pid], replacing "[pid]" with the number you noted earlier. If that doesn't work, try kill -3 [pid] and if that doesn't work kill -9 [pid]. If the process is owned by a different user (this is not likely), you may need to replace kill with sudo kill and type your password when prompted.

If the app doesn't show up in Activity Monitor or you couldn't kill it, the window may be a left-over stuck someplace else and the app simply isn't running anymore. In this case, sometimes (not always) it can work to killall SystemUIServer or killall Dock.

If none of this works, you'll have to log out and back in or reboot. The few times I've gotten to this point, the app was so stuck it prevented logging out or shutting down, so I had to hard reboot.