Check out the atexit
module:
http://docs.python.org/library/atexit.html
For example, if I wanted to print a message when my application was terminating:
import atexit
def exit_handler():
print 'My application is ending!'
atexit.register(exit_handler)
Just be aware that this works great for normal termination of the script, but it won’t get called in all cases (e.g. fatal internal errors).