Not a hyphen. Use an em dash. In most word processors, you can insert an em dash by using two hyphens (it will be converted to a single em dash). In LaTeX, use three hyphens (which will be converted). Or, from a character map, copy and paste the em dash.
Interruption, either by being cut off, or by a sudden event, is always shown by an em dash. On the other hand, if the speaker is losing the train of thought, or is tapering off, that is shown by an ellipsis.
Note that some fonts show a long em dash (full em width), while other fonts show a shorter em dash (maybe 75% to 80% of em). If you find the true em dash to be unattractively long, you might cheat an use an en dash instead. This is technically incorrect, but few would notice in print. In any case, it must be noticeably longer than a mere hyphen.
Example, with em dash:
"You never—"
"Don't give me that rubbish. I'm tired of your constant complaints."
Another example of em dash, used as a stronger alternative to parentheses:
It was dark — especially for London — and stormy night.
Example use of ellipsis:
She looked out at the rain, and mumbled to herself, "I wonder if…"
EDIT: There is a difference between the en dash (EN) and the em dash (EM). The en dash is used to indicate a range of things (say, between times or dates). Alas, the most common word processor rarely inserts an automatic en dash, but you can insert it by other means. In LaTeX, it is two hyphens, automatically replaced.
