Gali is a city in Abkhazia.
Gali is a very small town, you can just walk out.
Other useful info
Just be generally careful, as "bandits" are said to roam the place. --Rovingsnails: we had to get off a car nearby Gali when the driver threatened we had to show him our passports and give him money or he would take us out of the main road. In our case the police check point at the exit of the city came pretty handy when asking him to drop us off.
The traffic on the road from Gali to the Georgian border is scarce. The price per person in a marshrutka or shared taxi from Gali to the Georgian border is 50 rubles. It is also walkable, but better early in the morning, and watch out on the way.