I have had this happen to me very frequently on my VM machine running Windows XP. Outside of the VM, in Windows 7x64 I get it but about 50% less frequently compared to XP.
It's rather odd, as for me it freezes during the loading process while gating, as the red circle does appear however it just stays spinning.
Like Rojo said, one has to close the client (I run in windowed mode so I close the proxy forcing the client to dc then I just close the client normally).
Edit:
My Windows 7 machine seems to freezing a lot more today. Have about 60% chance of freezing while gating.