Up, Down, Left and Right arrow keys do not trigger KeyDown event

    protected override bool IsInputKey(Keys keyData)
    {
        switch (keyData)
        {
            case Keys.Right:
            case Keys.Left:
            case Keys.Up:
            case Keys.Down:
                return true;
            case Keys.Shift | Keys.Right:
            case Keys.Shift | Keys.Left:
            case Keys.Shift | Keys.Up:
            case Keys.Shift | Keys.Down:
                return true;
        }
        return base.IsInputKey(keyData);
    }
    protected override void OnKeyDown(KeyEventArgs e)
    {
        base.OnKeyDown(e);
        switch (e.KeyCode)
        {
            case Keys.Left:
            case Keys.Right:
            case Keys.Up:
            case Keys.Down:
                if (e.Shift)
                {

                }
                else
                {
                }
                break;                
        }
    }

I'm using PreviewKeyDown

    private void _calendar_PreviewKeyDown(object sender, PreviewKeyDownEventArgs e){
        switch (e.KeyCode){
            case Keys.Down:
            case Keys.Right:
                //action
                break;
            case Keys.Up:
            case Keys.Left:
                //action
                break;
        }
    }

I was having the exact same problem. I considered the answer @Snarfblam provided; however, if you read the documentation on MSDN, the ProcessCMDKey method is meant to override key events for menu items in an application.

I recently stumbled across this article from microsoft, which looks quite promising: http://msdn.microsoft.com/en-us/library/system.windows.forms.control.previewkeydown.aspx. According to microsoft, the best thing to do is set e.IsInputKey=true; in the PreviewKeyDown event after detecting the arrow keys. Doing so will fire the KeyDown event.

This worked quite well for me and was less hack-ish than overriding the ProcessCMDKey.