Ok I got something.. though I still can't jump to sfml source to track it down, I just noticed that upon exit in debug mode I got this line in console: "An internal OpenGL call failed in Image.cpp (90) : GL_INVALID_OPERATION, the specified operation is not allowed in the current state".
Also in debug mode, visual studio can look into disassmbly and tell me some info. Well when my main function returns, it's Main thread[5092] and stack frame is Waves.exe!_tmainCRTStartup(and some more info), but it stays here for about 6 steps. Then it executes: "0141A10F call dword ptr [__imp__exit (1430B04h)] ". It gets through msvcr90d.dll, kernel32.dll, ntdll.dll, and maybe others.. it's probably cleaning this debug info. But what's interesting, it finally gets to that line causing troubles: "69092994 mov edi,dword ptr [eax+8] " in Main Thread[5092] and stack frame is "atioglxx.dll!69092994()" .
Hope this helps somehow