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sudo breaks exception handling in Python in some subtle way. The following test program works fine when run directly, but breaks when run through sudo:
#!/usr/bin/python
import time
def a():
	try:
		while True:
			time.sleep(0.001)
	except KeyboardInterrupt:
		print "a"
def b():
	try:
		a()
	except KeyboardInterrupt:
		print "b"
b()
This is expected:
pierre@pangolin:~$ ./test.py
^Ca
But through sudo you get random behaviour:
pierre@pangolin:~$ sudo ./test.py
^Ca b
pierre@pangolin:~$ sudo ./test.py
^Ca b
pierre@pangolin:~$ sudo ./test.py
^Ca
b
pierre@pangolin:~$ sudo ./test.py
^Ca
pierre@pangolin:~$ sudo ./test.py
^Ca
pierre@pangolin:~$ sudo ./test.py
^Cb
Seen on Ubuntu 12.04 (alpha/beta) and on Fedora 16. Happens more often on Ubuntu though.

It's probably not related to Python; see http://comments.gmane.org/gmane.comp.tools.sudo.user/3769
This threads ends with: """
 Great. That change will be in the next sudo release.
"""

See also http://www.gratisoft.us/bugzilla/show_bug.cgi?id=464, which lists versions. Sounds like the same bug Amaury linked to.

I'm going to close this. If it turns out not to be a bug in sudo, please reopen.

Well that was fast. :)
Sounds very much like the same bug I'm seeing here, yes. Unfortunately I'm not sure it's sufficient for us to rely on the distributions to update their sudo packages. A workaround would be preferable. I'll see if I can figure something out.
Many thanks!