gistfile1.cs

this.cancellationTokenSource = new CancellationTokenSource();

var po = new ParallelOptions
  			{
				MaxDegreeOfParallelism = 8, 
				CancellationToken = this.cancellationTokenSource.Token
			};

try
{
	Parallel.ForEach(list, po, (item, loopState) =>
				{
					if (loopState.ShouldExitCurrentIteration || loopState.IsExceptional)
						loopState.Stop();

					po.CancellationToken.ThrowIfCancellationRequested();

					// do stuff here
				});
}
catch (OperationCanceledException)
{
	// we're aborting, tidy up
}
catch (Exception e)
{
	// report error here
}

note: "Do stuff" is wrapped in a try catch, so it will never throw. Can AggregateExceptions be thrown by another means?