Runtime.getRuntime().addShutdownHook(new Thread() {
    public void run() { /*
       my shutdown code here
    */ }
 });

This should be able to intercept the signal, but only as an intermediate step before the JVM completely shutdowns itself, so it may not be what you are looking after.

You need to use a SignalHandler (sun.misc.SignalHandler) to intercept the SIGINT signal triggered by a Ctrl+C (on Unix as well as on Windows).
See this article (pdf, page 8 and 9).