Even worse, on Windows the message is:

  Use exit() or Ctrl-Z plus Return to exit

Well, first, there is no Return key on any PC keyboard I've seen in a very long time. There is an Enter key.

But that's minor. The bad part is if I'm used to Linux and try to exit on Windows with Ctrl+D, I get this cryptic message:

  >>> ^D
    File "<stdin>", line 1
      ♦
      ^
  SyntaxError: invalid syntax
  >>>

Suppose it's the other way around: I started out as a Windows user and got accustomed to using Ctrl+Z to exit.

Now what happens if I switch to Linux (as an inexperienced Linux user) and try to use Ctrl+Z to exit? Yes, I get this somewhat cryptic message:

  >>> 
  [1]+  Stopped                 python
  mike@s:~$

Now, you know that I haven't exited Python at all but have merely backgrounded it, but remember I'm an inexperienced Linux user and don't know about fg and bg and stuff like that yet. So every time I "exit" from Python I've added another background task. Oops.