gistfile1.txt

$ python
Python 2.6.1 (r261:67515, Jun 24 2010, 21:47:49) 
[GCC 4.2.1 (Apple Inc. build 5646)] on darwin
Type "help", "copyright", "credits" or "license" for more information.
>>> def f():
...     try:
...             raw_input("Read something:")
...     except KeyboardInterrupt:
...             print "A SIGINT HAPPENED!"
...             sys.exit(0)
... 
>>> f()
Read something:A SIGINT HAPPENED!
$ echo $?
0