Draft of context closing.

I have added atexit.register(context.close) to both the kernel
and the frontend. This required pyzmq master and zeromq 2.0.8
or 2.0.9. This code is commented out for now, but it is easy
to enable and test.

IPython/zmq/entry_point.py

@@ -3,6 +3,7 b' launchers.'
 """
 
 # Standard library imports.
+import atexit
 import os
 import socket
 from subprocess import Popen, PIPE
@@ -84,6 +85,8 b' def make_kernel(namespace, kernel_factory,'
     # Create a context, a session, and the kernel sockets.
     io.raw_print("Starting the kernel at pid:", os.getpid())
     context = zmq.Context()
+    # Uncomment this to try closing the context.
+    # atexit.register(context.close)
     session = Session(username=u'kernel')
 
     reply_socket = context.socket(zmq.XREP)

IPython/zmq/kernelmanager.py

@@ -16,6 +16,7 b' TODO'
 #-----------------------------------------------------------------------------
 
 # Standard library imports.
+import atexit
 from Queue import Queue, Empty
 from subprocess import Popen
 import signal
@@ -654,7 +655,7 b' class KernelManager(HasTraits):'
     sub_channel_class = Type(SubSocketChannel)
     rep_channel_class = Type(RepSocketChannel)
     hb_channel_class = Type(HBSocketChannel)
-    
+
     # Protected traits.
     _launch_args = Any
     _xreq_channel = Any
@@ -662,6 +663,10 b' class KernelManager(HasTraits):'
     _rep_channel = Any
     _hb_channel = Any
 
+    def __init__(self, **kwargs):
+        super(KernelManager, self).__init__(**kwargs)
+        atexit.register(self.context.close)
+
     #--------------------------------------------------------------------------
     # Channel management methods:
     #--------------------------------------------------------------------------