>You have to make sure you take it out of the tab sequence, else the user would be able to Tab and get focus to a place they can't see, and pressing the spacebar (or enter if no button is default) will cause their form to cancel.

Good points, but I was thinking:

Why would you never have a button on the form to close it? Is there any UI thing about it? In all probability, you'll never need the hidden cancel button, or not?