I found that putting code in the WndProc method of the forms can be used to detect when the form is being closed. That way the form can do its dutties regardless of how the form is closed (close button, menu option, clicking the X, closing the app) or who closes the form (the app itself or windows.)

The benefit of this approach is that it does not depend on the caller form keeping track of it. The disadvantage is that is more complicated than it should be.

For the benefit of the lurkers, here is a preeliminary (read incomplete) version of the code:

Protected Overrides Sub WndProc(ByRef m As System.Windows.Forms.Message)

        Const WM_QUERYENDSESSION As Integer = &H11
        Const WM_SYSCOMMAND As Integer = &H112
        Const SC_CLOSE As Integer = &HF060&
        Const WM_CLOSE As Integer = &H10

        If m.Msg = WM_CLOSE Then
            MessageBox.Show(Me.Text + " - WndProc close")
        End If

        If m.Msg = WM_SYSCOMMAND Then
            If m.WParam.ToInt32 = SC_CLOSE Then
                MessageBox.Show(Me.Text + " - WndProc syscmd close")
            End If
        End If

        MyBase.WndProc(m)

    End Sub