How to test methods that call System.exit()?

Indeed, Derkeiler.com suggests:

• Why System.exit() ?

Instead of terminating with System.exit(whateverValue), why not throw an unchecked exception? In normal use it will drift all the way out to the JVM’s last-ditch catcher and shut your script down (unless you decide to catch it somewhere along the way, which might be useful someday).

In the JUnit scenario it will be caught by the JUnit framework, which will report that
such-and-such test failed and move smoothly along to the next.

• Prevent System.exit() to actually exit the JVM:

Try modifying the TestCase to run with a security manager that prevents calling System.exit, then catch the SecurityException.

public class NoExitTestCase extends TestCase 
{

    protected static class ExitException extends SecurityException 
    {
        public final int status;
        public ExitException(int status) 
        {
            super("There is no escape!");
            this.status = status;
        }
    }

    private static class NoExitSecurityManager extends SecurityManager 
    {
        @Override
        public void checkPermission(Permission perm) 
        {
            // allow anything.
        }
        @Override
        public void checkPermission(Permission perm, Object context) 
        {
            // allow anything.
        }
        @Override
        public void checkExit(int status) 
        {
            super.checkExit(status);
            throw new ExitException(status);
        }
    }

    @Override
    protected void setUp() throws Exception 
    {
        super.setUp();
        System.setSecurityManager(new NoExitSecurityManager());
    }

    @Override
    protected void tearDown() throws Exception 
    {
        System.setSecurityManager(null); // or save and restore original
        super.tearDown();
    }

    public void testNoExit() throws Exception 
    {
        System.out.println("Printing works");
    }

    public void testExit() throws Exception 
    {
        try 
        {
            System.exit(42);
        } catch (ExitException e) 
        {
            assertEquals("Exit status", 42, e.status);
        }
    }
}

---

Update December 2012:

Will proposes in the comments using System Rules, a collection of JUnit(4.9+) rules for testing code which uses java.lang.System.
This was initially mentioned by Stefan Birkner in his answer in December 2011.

System.exit(…)

Use the ExpectedSystemExit rule to verify that System.exit(…) is called.
You could verify the exit status, too.

For instance:

public void MyTest {
    @Rule
    public final ExpectedSystemExit exit = ExpectedSystemExit.none();

    @Test
    public void noSystemExit() {
        //passes
    }

    @Test
    public void systemExitWithArbitraryStatusCode() {
        exit.expectSystemExit();
        System.exit(0);
    }

    @Test
    public void systemExitWithSelectedStatusCode0() {
        exit.expectSystemExitWithStatus(0);
        System.exit(0);
    }
}