您可以使用AppDomain的ProcessExit事件：

class Program
{
    static void Main(string[] args)
    {
        AppDomain.CurrentDomain.ProcessExit += new EventHandler(CurrentDomain_ProcessExit);           
        // do some work

    }

    static void CurrentDomain_ProcessExit(object sender, EventArgs e)
    {
        Console.WriteLine("exit");
    }
}

更新

下面是一个完整的示例程序，其中有一个空的“消息泵”运行在一个单独的线程上，它允许用户在控制台中输入一个退出命令，以优雅地关闭应用程序。在MessagePump中的循环之后，您可能希望以一种良好的方式清理线程使用的资源。在MessagePump中这样做比在ProcessExit中更好，原因如下：

• 避免跨线程问题;如果外部COM对象是在MessagePump线程上创建的，那么在那里处理它们会更容易。
• ProcessExit有一个时间限制（默认为3秒），因此如果清理非常耗时，则在该事件处理程序中执行清理可能会失败。

代码如下：

class Program
{
    private static bool _quitRequested = false;
    private static object _syncLock = new object();
    private static AutoResetEvent _waitHandle = new AutoResetEvent(false);

    static void Main(string[] args)
    {
        AppDomain.CurrentDomain.ProcessExit += new EventHandler(CurrentDomain_ProcessExit);
        // start the message pumping thread
        Thread msgThread = new Thread(MessagePump);
        msgThread.Start();
        // read input to detect "quit" command
        string command = string.Empty;
        do
        {
            command = Console.ReadLine();
        } while (!command.Equals("quit", StringComparison.InvariantCultureIgnoreCase));
        // signal that we want to quit
        SetQuitRequested();
        // wait until the message pump says it's done
        _waitHandle.WaitOne();
        // perform any additional cleanup, logging or whatever
    }

    private static void SetQuitRequested()
    {
        lock (_syncLock)
        {
            _quitRequested = true;
        }
    }

    private static void MessagePump()
    {
        do
        {
            // act on messages
        } while (!_quitRequested);
        _waitHandle.Set();
    }

    static void CurrentDomain_ProcessExit(object sender, EventArgs e)
    {
        Console.WriteLine("exit");
    }
}

下面是一个完整的、非常简单的.NET解决方案，它可以在所有版本的Windows中工作。只需将它粘贴到一个新项目中，运行它，然后尝试Ctrl + C来查看它是如何处理的：

using System;
using System.Collections.Generic;
using System.Linq;
using System.Runtime.InteropServices;
using System.Text;
using System.Threading;

namespace TestTrapCtrlC{
    public class Program{
        static bool exitSystem = false;

        #region Trap application termination
        [DllImport("Kernel32")]
        private static extern bool SetConsoleCtrlHandler(EventHandler handler, bool add);

        private delegate bool EventHandler(CtrlType sig);
        static EventHandler _handler;

        enum CtrlType {
         CTRL_C_EVENT = 0,
         CTRL_BREAK_EVENT = 1,
         CTRL_CLOSE_EVENT = 2,
         CTRL_LOGOFF_EVENT = 5,
         CTRL_SHUTDOWN_EVENT = 6
         }

        private static bool Handler(CtrlType sig) {
            Console.WriteLine("Exiting system due to external CTRL-C, or process kill, or shutdown");

            //do your cleanup here
            Thread.Sleep(5000); //simulate some cleanup delay

            Console.WriteLine("Cleanup complete");

            //allow main to run off
             exitSystem = true;

            //shutdown right away so there are no lingering threads
            Environment.Exit(-1);

            return true;
        }
        #endregion

        static void Main(string[] args) {
            // Some biolerplate to react to close window event, CTRL-C, kill, etc
            _handler += new EventHandler(Handler);
            SetConsoleCtrlHandler(_handler, true);

            //start your multi threaded program here
            Program p = new Program();
            p.Start();

            //hold the console so it doesn’t run off the end
            while(!exitSystem) {
                Thread.Sleep(500);
            }
        }

        public void Start() {
            // start a thread and start doing some processing
            Console.WriteLine("Thread started, processing..");
        }
    }
 }

应用程序是一个服务器，它只运行到系统关闭或收到Ctrl + C或控制台窗口关闭为止。
由于应用程序的特殊性质，“优雅地”退出是不可行的。（我可能会编写另一个应用程序，它将发送“服务器关闭”消息，但这对于一个应用程序来说是多余的，而且对于某些情况（例如服务器（实际上是操作系统）实际上正在关闭）来说仍然是不够的。）
由于这些情况，我添加了一个“ConsoleCtrlHandler“，在那里我停止我的线程并清理我的COM对象，等等...

Public Declare Auto Function SetConsoleCtrlHandler Lib "kernel32.dll" (ByVal Handler As HandlerRoutine, ByVal Add As Boolean) As Boolean

Public Delegate Function HandlerRoutine(ByVal CtrlType As CtrlTypes) As Boolean

Public Enum CtrlTypes
  CTRL_C_EVENT = 0
  CTRL_BREAK_EVENT
  CTRL_CLOSE_EVENT
  CTRL_LOGOFF_EVENT = 5
  CTRL_SHUTDOWN_EVENT
End Enum

Public Function ControlHandler(ByVal ctrlType As CtrlTypes) As Boolean
.
.clean up code here
.
End Function

Public Sub Main()
.
.
.
SetConsoleCtrlHandler(New HandlerRoutine(AddressOf ControlHandler), True)
.
.
End Sub

这个设置看起来很完美。下面是a link到一些C#代码的相同内容。

对于CTRL+C的情况，您可以使用以下代码：

// Tell the system console to handle CTRL+C by calling our method that
// gracefully shuts down.
Console.CancelKeyPress += new ConsoleCancelEventHandler(Console_CancelKeyPress);

static void Console_CancelKeyPress(object sender, ConsoleCancelEventArgs e)
{
            Console.WriteLine("Shutting down...");
            // Cleanup here
            System.Threading.Thread.Sleep(750);
}

如果您使用的是控制台应用程序并且正在发送消息，则可以使用WM_QUIT消息。