But it all comes down to exactly what the window is doing, and when exactly you want to stop things, so experimenting with Event Listener Breakpoints in the Sources tab, as in @jfhfhf839's answer, is a good idea too.
In my case (debugging Google OAuth flow), neither Window -> Close nor Load -> Unload did the trick, but Script > Script First Statement was useful, though I had to resume execution a few times before I got to where I wanted.