How can I "intercept" Ctrl+C in a CLI application?

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).

I am assuming you want to shutdown gracefully, and not do short circuit the shutdown process. If my assumption is correct, then you should look at Shutdown Hooks.

In order to be able to handle Ctrl+C without shutting down for some reason, you'll need to use some form of signal handling (since the Ctrl+C input isn't actually passed directly to your application, but instead is handled by the OS which generates a SIGINT that is then passed to Java.

See http://www.oracle.com/technetwork/java/javase/signals-139944.html for details on signal handling.

(If you're just wanting to gracefully shutdown, akf's answer will suffice.)