I'm pretty sure because of the way signals are implemented on most UNIX-type platforms that this should be the behavior you would expect. Windows is another story, and I'm not sure what to expect. POSIX support is always a bit strange under Windows.

A probable explanation is that the 'select' function is unlike most functions in that it involves a kernel call that puts the process into a suspended state, as the process is not actually "running" while the select call is waiting. This is unlike, say, a for(;;) loop which will use 100% of CPU, though achieving the same sort of delay effect.

It would stand to reason that the kernel call is aborted prematurely and the appropriate signal handler is called. Any similar kernel call should also be interrupted by a signal as well, such as the sleep function.