I know this is an old question but I came here first and then discovered the atexit module. I do not know about its cross-platform track record or a full list of caveats yet, but so far it is exactly what I was looking for in trying to handle post-KeyboardInterrupt cleanup on Linux. Just wanted to throw in another way of approaching the problem.
I want to do post-exit clean-up in the context of Fabric operations, so wrapping everything in try/except wasn't an option for me either. I feel like atexit may be a good fit in such a situation, where your code is not at the top level of control flow.
atexit is very capable and readable out of the box, for example:
import atexit
def goodbye():
print "You are now leaving the Python sector."
atexit.register(goodbye)
You can also use it as a decorator (as of 2.6; this example is from the docs):
import atexit
@atexit.register
def goodbye():
print "You are now leaving the Python sector."
If you wanted to make it specific to KeyboardInterrupt only, another person's answer to this question is probably better.
But note that the atexit module is only ~70 lines of code and it would not be hard to create a similar version that treats exceptions differently, for example passing the exceptions as arguments to the callback functions. (The limitation of atexit that would warrant a modified version: currently I can't conceive of a way for the exit-callback-functions to know about the exceptions; the atexit handler catches the exception, calls your callback(s), then re-raises that exception. But you could do this differently.)
For more info see:
atexit