What is the best way to stop Fax Merge in the middle of faxing a long list?

The easiest thing to do is to turn off Sending in the Fax Console. Then wait until the Outbox has all the faxes and then delete them before turning on faxing again.

To Turn faxing on/off:
Go to the Fax Console (Click Start > All Programs > Accessories > Communications > Fax > Fax Console)
Click 'Tools' > 'Configure Fax' to open the fax wizard.
Click Next two times and you will see a checkbox for Enable Send.
Remove the tick.
Click Next a few more time until the Finish button is enabled.
Click Finished.