Нужно, чтобы когда закрывалось консольное приложение на C# происходило какое-то действие!

Задача неясна. Надо выполнять действия в конце твоей программы или при завершении какой-то другой программы?

NAT LUENGNARUEMITCHAI
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Detecting Process Exit From Console Application in C#
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There are mainly 2 types of Win32 applications, console application and window application. They have different way in handling application exit. To force Window application to exit, you need to send out WM_CLOSE message to the main window handle. That's pretty simple to handle. You can hook up to Application.ApplicationExit or Form.Close at the form level. However, in a console application, it is a little bit different. Console applications are somehow modeled after DOS console application where usually an application exits when stdin is dead or Ctrl+C is pressed. To handle this properly in C#, you can set a delegate to SetConsoleCtrlHandler.You will have an opportunity to clean up resource or finish your work before the application actually exits.
....
// Declare the SetConsoleCtrlHandler function
// as external and receiving a delegate.
[DllImport("Kernel32")]
public static extern bool SetConsoleCtrlHandler(HandlerRoutine Handler, bool Add);

// A delegate type to be used as the handler routine
// for SetConsoleCtrlHandler.
public delegate bool HandlerRoutine(CtrlTypes CtrlType);

// An enumerated type for the control messages
// sent to the handler routine.
public enum CtrlTypes
{
CTRL_C_EVENT = 0,
CTRL_BREAK_EVENT,
CTRL_CLOSE_EVENT,
CTRL_LOGOFF_EVENT = 5,
CTRL_SHUTDOWN_EVENT
}

private static bool ConsoleCtrlCheck(CtrlTypes ctrlType)
{
// Put your own handler here
return true;
}

...

SetConsoleCtrlHandler(new HandlerRoutine(ConsoleCtrlCheck), true);

Добавить необходимое действие перед строкой Environment.Exit(0);

это метод OnClose() или OnClosing()

Просто перед выходом из метода Main напиши то, что нужно.