> That doesn't matter.  PyGILState_Ensure needs to remain valid
> *forever*. Only once the process is completely gone can we be sure 
> it won't be called.

We could apply the same idea: when exiting, PyGILState_Ensure() blocks
forever, except for the main thread of course.

Note that all this state must be restartable: after Py_Finalize(), it
should be possible to call Py_Initialize() again. This seems to raise
the score of the "exit_thread" approach.
I don't know if multiple interpreters are well supported, though.
Is there somewhere a list of use cases, or a test script that can
exercise this?