If a thread is killed in the server, we throw "shutdown" only if one is actually in
progress; otherwise, we throw "query interrupted".

Control-C in the mysql command-line client is "incremental" now.
First Control-C sends KILL QUERY (when connected to 5.0+ server, otherwise, see next)
Next  Control-C sends KILL CONNECTION
Next  Control-C aborts client.

As the first two steps only pertain to an existing query,
Control-C will abort the client right away if no query is running.

client will give more detailed/consistent feedback on Control-C now.