int_handler()
{
    echo "Interrupted."
    # Kill the parent process of the script.
    kill $PPID
    exit 1
}
trap 'int_handler' INT

Get more info on trap with:

$ help trap

Update: You can also add set -e to the top of your script to "Exit immediately if a [subsequent] command exits with a non-zero status." That way if you won't have to rely on being there to hit Ctrl+C when something goes wrong and you won't need to rely on $PPID being set in int_handler() either.