From teh documentation:
http://docs.python.org/c-api/veryhigh.html

int Py_Main(int argc, char **argv)¶
    The main program for the standard interpreter. This is made
available for programs which embed Python. The argc and argv parameters
should be prepared exactly as those which are passed to a C program’s
main function. It is important to note that the argument list may be
modified (but the contents of the strings pointed to by the argument
list are not). The return value will be the integer passed to the
sys.exit() function, 1 if the interpreter exits due to an exception, or
2 if the parameter list does not represent a valid Python command line.

However, if teh user type sys.exit(whatever), Py_Main() is call exit()
instead of returning, which cause program termination before cleanup and
stuff.