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.  

The python signal handlers do not seem to be real signal handlers; that is they happen after the fact, in the normal flow and after the C handler has already returned. Thus you'd try to put your quit logic within the signal handler. As the signal handler runs in the main thread, it will block execution there too.

Something like this seems to work nicely.

import signal
import time
import sys

def run_program():
    while True:
        time.sleep(1)
        print("a")

def exit_gracefully(signum, frame):
    # restore the original signal handler as otherwise evil things will happen
    # in raw_input when CTRL+C is pressed, and our signal handler is not re-entrant
    signal.signal(signal.SIGINT, original_sigint)

    try:
        if raw_input("\nReally quit? (y/n)> ").lower().startswith('y'):
            sys.exit(1)

    except KeyboardInterrupt:
        print("Ok ok, quitting")
        sys.exit(1)

    # restore the exit gracefully handler here    
    signal.signal(signal.SIGINT, exit_gracefully)

if __name__ == '__main__':
    # store the original SIGINT handler
    original_sigint = signal.getsignal(signal.SIGINT)
    signal.signal(signal.SIGINT, exit_gracefully)
    run_program()

The code restores the original signal handler for the duration of raw_input; raw_input itself is not re-entrable, and re-entering it will lead to RuntimeError: can't re-enter readline being raised from time.sleep which is something we don't want as it is harder to catch than KeyboardInterrupt. Rather, we let 2 consecutive Ctrl-C's to raise KeyboardInterrupt.