New Redemption Grab Bag now includes an assortment of 500 cards from five (5) different expansion sets. Available at Cactus website.
Interrupt the battle works on ongoing abilities AND the last instant ability played (if it was played by an opponent). The only thing is getting initiative to play the interrupt which can happen by numbers or, as MKC said, removal from battle by an opponent.
I think since this is a delayed removal, if you remove your character before it triggers then you're safe. The times you cannot interrupt your own removal is like Samson's Sacrifice-type cards.