Register your handler with signal.signal like this:

#!/usr/bin/env python
import signal
import sys

def signal_handler(sig, frame):
    print('You pressed Ctrl+C!')
    sys.exit(0)

signal.signal(signal.SIGINT, signal_handler)
print('Press Ctrl+C')
signal.pause()

Code adapted from here.

More documentation on signal can be found here.  

You can treat it like an exception (KeyboardInterrupt), like any other. Make a new file and run it from your shell with the following contents to see what I mean:

import time, sys

x = 1
while True:
    try:
        print x
        time.sleep(.3)
        x += 1
    except KeyboardInterrupt:
        print "Bye"
        sys.exit()

And as a context manager:

import signal

class GracefulInterruptHandler(object):

    def __init__(self, sig=signal.SIGINT):
        self.sig = sig

    def __enter__(self):

        self.interrupted = False
        self.released = False

        self.original_handler = signal.getsignal(self.sig)

        def handler(signum, frame):
            self.release()
            self.interrupted = True

        signal.signal(self.sig, handler)

        return self

    def __exit__(self, type, value, tb):
        self.release()

    def release(self):

        if self.released:
            return False

        signal.signal(self.sig, self.original_handler)

        self.released = True

        return True

To use:

with GracefulInterruptHandler() as h:
    for i in xrange(1000):
        print "..."
        time.sleep(1)
        if h.interrupted:
            print "interrupted!"
            time.sleep(2)
            break

Nested handlers:

with GracefulInterruptHandler() as h1:
    while True:
        print "(1)..."
        time.sleep(1)
        with GracefulInterruptHandler() as h2:
            while True:
                print "\t(2)..."
                time.sleep(1)
                if h2.interrupted:
                    print "\t(2) interrupted!"
                    time.sleep(2)
                    break
        if h1.interrupted:
            print "(1) interrupted!"
            time.sleep(2)
            break

From here: https://gist.github.com/2907502

You can handle CTRL+C by catching the KeyboardInterrupt exception. You can implement any clean-up code in the exception handler.

From Python's documentation:

import signal
import time

def handler(signum, frame):
    print 'Here you go'

signal.signal(signal.SIGINT, handler)

time.sleep(10) # Press Ctrl+c here

Yet Another Snippet

Referred main as the main function and exit_gracefully as the CTRL + c handler

if __name__ == '__main__':
    try:
        main()
    except KeyboardInterrupt:
        pass
    finally:
        exit_gracefully()

I adapted the code from @udi to support multiple signals (nothing fancy) :

class GracefulInterruptHandler(object):
    def __init__(self, signals=(signal.SIGINT, signal.SIGTERM)):
        self.signals = signals
        self.original_handlers = {}

    def __enter__(self):
        self.interrupted = False
        self.released = False

        for sig in self.signals:
            self.original_handlers[sig] = signal.getsignal(sig)
            signal.signal(sig, self.handler)

        return self

    def handler(self, signum, frame):
        self.release()
        self.interrupted = True

    def __exit__(self, type, value, tb):
        self.release()

    def release(self):
        if self.released:
            return False

        for sig in self.signals:
            signal.signal(sig, self.original_handlers[sig])

        self.released = True
        return True

This code support the keyboard interrupt call (SIGINT) and the SIGTERM (kill <process>)

In contrast to Matt J his answer, I use a simple object. This gives me the possibily to parse this handler to all the threads that needs to be stopped securlery.

class SIGINT_handler():
    def __init__(self):
        self.SIGINT = False

    def signal_handler(self, signal, frame):
        print('You pressed Ctrl+C!')
        self.SIGINT = True


handler = SIGINT_handler()
signal.signal(signal.SIGINT, handler.signal_handler)

Elsewhere

while True:
    # task
    if handler.SIGINT:
        break

If you want to ensure that your cleanup process finishes I would add on to Matt J's answer by using a SIG_IGN so that further SIGINT are ignored which will prevent your cleanup from being interrupted.

import signal
import sys

def signal_handler(signum, frame):
    signal.signal(signum, signal.SIG_IGN) # ignore additional signals
    cleanup() # give your process a chance to clean up
    sys.exit(0)

signal.signal(signal.SIGINT, signal_handler) # register the signal with the signal handler first
do_stuff()

You can use the functions in Python's built-in signal module to set up signal handlers in python. Specifically the signal.signal(signalnum, handler) function is used to register the handler function for signal signalnum.

thanks for existing answers, but added signal.getsignal()

import signal

# store default handler of signal.SIGINT
default_handler = signal.getsignal(signal.SIGINT)
catch_count = 0

def handler(signum, frame):
    global default_handler, catch_count
    catch_count += 1
    print ('wait:', catch_count)
    if catch_count > 3:
        # recover handler for signal.SIGINT
        signal.signal(signal.SIGINT, default_handler)
        print('expecting KeyboardInterrupt')

signal.signal(signal.SIGINT, handler)
print('Press Ctrl+c here')

while True:
    pass

Personally, I couldn't use try/except KeyboardInterrupt because I was using standard socket (IPC) mode which is blocking. So the SIGINT was cueued, but came only after receiving data on the socket.

Setting a signal handler behaves the same.

On the other hand, this only works for an actual terminal. Other starting environments might not accept Ctrl+C, or pre-handle the signal.

Also, there are "Exceptions" and "BaseExceptions" in Python, which differ in the sense that interpreter needs to exit cleanly itself, so some exceptions have a higher priority than others (Exceptions is derived from BaseException)