Chris,

Another option, on Windows, is to use something like the pstools from Microsoft SysInternals (http://technet.microsoft.com/en-us/sysinternals/bb896649.aspx). As I understand it a similar approach is possible in Linux. I haven't tested this with EG, but we are using Base SAS 9.2 on PCs connecting to a Windows SAS server.

You can find the process id from the name of the SAS work directory and then pskill this process from a DOS prompt:
pskill [server]

This also suffers from not knowing whether a database session is still active, but does not delete the work directory, although it will end the SAS session. This allows you to define a libname statement in a later session to access datasets in your orphaned work directory.

Robert