Problem:

gcj / gij do not execute ShutdownHooks registered with Runtime.getRuntime().addShutdownHook() if the program is stopped by pressing CTRL-C. ShutdownHooks are executed only on a normal exit (reaching the end of main() or explicit calling System.exit(int status).
(As far as I can see this is a common problem of all free VMs like kaffe, sablevm.) The developer of JamVM, Robert Lougher, announced me that he fixed this for JamVM since 1.3.2.
 
A simple test-class I used looks like:

public class ShutdownHookTest {
    public static void main(String[] args){
        Runtime.getRuntime().addShutdownHook(new Thread(new Runnable() {
            public void run() {
                System.out.println("shutting down ...");
                for(int i = 10; i>0; i--){
                        System.out.println(i);
                        try{
                                Thread.sleep(500);
                        }catch(InterruptedException e){
                                System.err.println(e.getMessage());
                        }
                }
                System.out.println("shutdown finished!");
            }
        }));
        while (true){
                System.out.print(".");
                System.out.flush();
                try{
                        Thread.sleep(1000);
                }catch(InterruptedException e){
                        System.err.println(e.getMessage());
                }
        }
    }
}

You can download it here

Patch:

Here is a simple patch for libjava, solving the problem. I tested it with gcc 4.0.1 on ix86-pc-linux-gnu (but it should work with other versions and on other target-systems).
The patch will have no effect on MinGW-builds of gcj/gij, as Windows has no POSIX-compilant signal-handling!
You can apply the patch in the src-dir of gcc:

patch -p0 < ../gcj-4.0.1.patch

Differences to Suns java:

If you use the java-class above with suns java, you can see that the main()-funktion is still running while the shutdownHook is run. Using gcj/gij, this is not the case!

ToDo:

If I find the time, I will try to improve the patch ...