So, basically, what are your favorite “Last Words” from works of fiction? In spoilerboxes of course, in case people want to read/watch/whatever the work in question before they find out someone HAS last words.
Flight of the Intruder, by Stephen Coonts
Do it for me, I’d do it for you. – Major Frank Allen, USAF. Considering that, in the book, the guy is talking to one of his own squadron mates rather than some anonymous pilot like in the movie, this line hit with a lot more force in the book.
Not fiction, strictly speaking, but the closing lines of Parliament of Whores get me every time. After telling the story of a (fictional) town hall meeting in a tiny New Hampshire town–wherein the residents voted themselves lots of unearned benefits and largesse–O’Rourke concluded that “Every government is a parliament of whores… The trouble is, in a democracy, the whores are us.”
Well, it’s not fiction, and it doesn’t sound like it’s last words either, unless O’Rourke was immediately hit by a bus or something. 
Hi Raguleader
Well, this isn’t from some great work of fiction but the last lines are pretty darned good.
From “Butch Cassidy and the Sundance Kid” (1969).
They have both been chased over several states by a band of trackers led by Sheriff Joe LeFors.
They eventually take drastic action to escape LeFors and his troop by going to Bolivia, where they once again rob banks and become the infamous “Bandidos Yanquis”. (sp???)
Well, a bank robbery they attempt goes bad, and both of them are seriously shot up so they take cover in an abandoned building. Unbeknownst to them, practically the entire Bolivian army has them surrounded.
Thinking there’s only a few people to deal with, Paul Newman asks:
Butch Cassidy: Hey, wait a minute.
Sundance Kid: What?
Butch Cassidy: You didn’t see Lefors out there, did you?
Sundance Kid: Lefors? No.
**Butch Cassidy: **Oh, good. For a moment there I thought we were in trouble.
Maybe my setup was a bit long-winded but those are some of the greatest last lines from the American cinema.