Here is an example:

import matplotlib
#matplotlib.use('Qt4Agg')
from matplotlib import pyplot as plt
plt.plot(1, 1)
plt.show()

Run this script from terminal, wait for the window to appear and press Ctrl-C (in terminal). The script will not die.
Then uncomment the matplotlib.use line an Ctrl-C will work as intended.

UPD:
If I press Ctrl-C and then move mouse over the plot window the following exception appears in the log:

Traceback (most recent call last):
  File "/opt/local/Library/Frameworks/Python.framework/Versions/3.3/lib/python3.3/site-packages/matplotlib/backend_bases.py", line 1850, in enter_notify_event
    def enter_notify_event(self, guiEvent=None, xy=None):
KeyboardInterrupt

The same is for callback set using signal.signal(signal.SIGTERM, cb), callback is not called until window receives any event (focus change, mouse move, etc).