“God bless…God damn.”
- James Thurber (1894-1961), essayist, humorist, misogynist and cartoonist
“Custer’s luck! The biggest Indian Village on the Continent!”
–George Armstrong Custer
Those were the last known words; he was killed quite a while later and all the witnesses to his actual last words were killed as well. Some possibilities:
“Hurrah, boys, hurrah! We’ve got them right where we want them!”
“I’ve never seen so may pissed-off angry indians in my life!”
“Not the face!”
“Moose… indian”
Thoreau
I can’t cite this but supposedly in the history of recorded conversations that are on record from immediately before a fatal tragedy the most common last words are:
“Oh, shit!”
Ahhh…Rosebud. 
Thomas de Mahy when handed his death sentence by French revolutionaries, “I see that you have made three spelling mistakes.”
Shoot straight you bastards and don’t make a mess of it!
Executed by firing squad.
“Breaker” Morant, Australian soldier, d. 1902
Now why did I think most of the good ones wouldn’t already been taken in a place like this?
Ok, I can’tremember the details but there was an elderly French lady whose family was gathered around her death bed, who let seemed to be passing away when she let out a huge fart.
Much to the horror of the surrounding company. And she said “A woman who can fart is still alive!” I can’t argue with that, even in French.
“The Doctor, and my Wife.”
-Composer Richard Wagner.
“I came here to die, not to make a speech.”
-Cherokee Bill at the gallows.
From the site:
The last words of G. W. Green, executed 11/12/91 for the murder of a reserve deputy sheriff:
You mean like that?
Green, Joseph Henry (1791-1863) “Congestion. Stopped.”
Joseph Henry Green was a distinguished 19th century British surgeon. On his deathbed he is said to have remarked, "Congestion," after taking an especially raspy breath. He then checked his own pulse, announced "Stopped," and died.It’s probably not true, but after being asked if he renounced Satan on his death bed, Voltaire responded “now isn’t the time to be making enemies.”
Hehehe. That always makes me giggle.
Or this, or this? And don’t forget Gary Gilmore: “Let’s do it.”
“Turn me over; I’m done on this side.” – Someone who was burned during the Inquisition (sorry, no cite)
“Don’t worry; that guy’s gotta see us.” – James Dean
“There he is … look at him! Goddamn that son-of-a-bitch is coming! Get off!” Pilot in the Pan Am/KLM collision in Tenerife, 1977
Possibly that’s based on Giles Corey’s last words - “More Weight”
“Don’t let it end like this, tell them I said something” - Pancho Villa
If we can include epitaphs requested by the deceased (well, before they were dead, I guess), I like:
“I told you I was ill”
- Spike Milligan. I think his family objected, and it didn’t happen.
“Well, this sucks.”
- Forgot where I heard that one. Mighta been here on the SDMB.
In the film, those words were spoken by the guy executed with him (whose name I forget). It’s been a while since I read the bio, so I don’t recall what was said there.
“Bugger Bognor.” The last words of King George V, when his doctor suggested he should take a trip to the seaside resort of Bognor Regis for his health. (It was reported in the London *Times *that he said “How is the Empire?”)
No cite either, but I think that is supposed to be St Lawrence, being roasted on hot coals.