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