My favourite is Bill Hicks:
“I have said all there is to say.”
He lived for twelve more days, but said nothing more. Now that is hardcore.
I’ve found it attributed to St. Lawrence at several sites , but I would assume it is legend. Says something about our biases that a story originally attributed to a Christian martyr (258 AD) was attributed to a victim of the Spanish Inquisition here.
Most of them are pretty contrite and sad. About one out of every 40 or 50 will be on the other end of the spectrum, though, and some of those are pretty chilling. This is one from Kelsey Patterson, who shot two people for no reason and then took off his clothes and stood naked in the middle of the street:
Gary Graham (who took the name Shaka Sankofa in prison) achieved international fame on death row and the support of celebrities like Jesse Jackson, Al Sharpton, and Bianca Jagger, all of whom were present at his execution. His speech is probably the longest, and is also pretty chilling in places. It’s too long to quote in full, but here’s a link:
Reminds me of my favorite:
“I am about to – or I am going to – die: either expression is correct.”
Dominique Bouhours, French grammarian, d. 1702
My wife’s grandfather was dying in hospital. One night, he and his kids were quietly watching a Leafs playoff game in his hospital room. The third period ended in a tie, and after the horn sounded, he said,
“Well, I’m not sticking around for overtime.”
And he promptly died.
That’s going out with style.
Now that’s what you call “sudden death.” 
sorrysorrysorry
“I think I’m becoming a god.” -the Emperor Vespasian
Probably a myth, but I like it.
(Roman Emperors in those days were often deified after death.)
“To the contrary–”
Henrik Ibsen. His housekeeper had observed that he was looking better.
An alternate version insists he really said, “How is the vampire?” Referring to Wallis Simpson (later Duchess of Windsor), the American divorcee who had ensnared his elder son.
Well, what do you . . . [lengthy pause] . . . expect?! 
For sheer mystery, you can’t beat the last words of Dutch Schultz!
You know, I’ve now watched Dutch Schultz die in at least three movies – The Cotton Club, Hoodlum, and Billy Bathgate – and not one of them has done anything with Schultz’ famous last words. I wonder fnord why not?
Qadgop, true, those were HDT’s last words, but he was delirious when he mumbled them. A better quote from his deathbed ocurred a few days earlier when someone (his aunt IIRC) asked, “Henry, have you made your peace with God?” and Thoreau replied, “I wasn’t aware that we’d quarrelled.”