Here is a new patch; I lifted the pre-Py_Initialize() restriction, because it seems to me that a wxPython application, for example, could use it.
A wxPython application is not embedded, but it already often redirects stdout and even installs a segfault handler.

I also made Py_SetFatalHook() return the previous hook; it could be useful to set a function temporarily, even if this is not thread safe.