# -*- coding: utf-8 -*-
from PyQt4 import QtCore, QtGui
import sys
import os

class CloseTest(QtGui.QMainWindow):
    
    def __init__(self, parent=None):
        QtGui.QMainWindow.__init__(self) 
        
        self.timer = QtCore.QTimer(self)
        QtCore.QObject.connect(self.timer,  QtCore.SIGNAL('timeout()'), self.doAction)
        self.timer.start(1000)
    
    def closeEvent(self, event):
        print '!!! Close event'
        self.timer.stop()
    
    def doAction(self):
        QtGui.QMessageBox.aboutQt(self)

app = QtGui.QApplication(sys.argv)
main = CloseTest()
sys.exit(app.exec_())

...
app = QtGui.QApplication(sys.argv)
main = CloseTest()
main.show()
sys.exit(app.exec_())

app = QtGui.QApplication(sys.argv)
app.setQuitOnLastWindowClosed(False)
main = CloseTest()
sys.exit(app.exec_())