“Shoot straight you bastards, dont make a mess of it” - Breaker Morant
“Mother of God, is this the end of Rico?” - * Little Ceasar*
“This is funny” - Doc Holliday, Tombstone (and apparently in RL too)
“I regret trifling with married women, I’m thoroughly ashamed at cheating at cards, I deplore my occasional departures from the truth, Forgive me for taking your name in vain, my Saturday drunkenness, my Sunday Sloth. Above all, forgive me for the men I’ve killed in anger, and those I am about to…”
[…Psyche!]
White Heat: “Made it, ma! Top of the world!”
South Park BLU: Though we die, La Resistance lives on. (The Mole)
Mr. Nightlinger, from The Cowboys . Man, I have Bruce Dern more and more every time I see that movie.
Anyway, here’s my contribution (which isn’t the character’s last words, just the last line of the movie).
“…maybe it was Utah.”
Clue
“Da da da Da Da Da - I AM your sing-ing tel-e-gram” (BANG)
The Longest Day
(BANG) “I heard two clicks…I heard TWO clicks.”
Monty Python and the Holy Grail
“I feel happy…I feel happy.” (THUNK)
Cobb “Goodbye Paden.”
Paden “Goodbye Cobb.”
Silverado
“I TOLD you I didn’t do it!”
Mr Green in Clue
“You’re still here? The movie’s OVER! Go home!”
Ferris Bueller in Ferris Bueller’s Day Off
“I didn’t know there WAS a pool down there.”
Gangster to James Bond after tossing Plenty O’Toole out of a hotel window in Diamonds Are Forever
“*Whadya gonna do k-k-k-Ken, run me over?” * Otto, A Fish Called Wanda
You know, they made a third one, called “The Return of the King.”
Now, if you’d written “Gandalf the Grey”. . .
for that matter, there was a second one, too.
Given some of the other examples (e.g. Spock from Wrath of Khan), I assume we aren’t disqualifying lines just because the speaker died and then got better. 
“Beware…of the Dwarf.”
The dude who said “Beware of the Dwarf” - Foul Play
“Ooo… eee… AAARRGHHH… ooowww… aaahhhh… eerrrrghhh… ooo…”–Paul Reubens, Buffy the Vampier Slayer
Die Hard:
Takagi: “You’ll just have to kill me.”
Random Bad Guy: “Next time you have a chance to kill someone, don’t hesitate!”
Die Hard With A Vengeance:
Random Bad Guy: “Nicht schiessen!” (“He said don’t shoot.”)
Trago: “He has tricked us.”
Oddly enough, neither Gruber brother really had a last line worth mentioning.
“Look into your heart… Look into your heart!” - Bernie (Miller’s Crossing)
That would be “Mother of Mercy…”
I guess everyone’s aped out from the other thread:
I nominate as the best closing line: [Chu-Chu-Chu-Chu…]
[…Chu-Chu-Chu-Chu]
GII:
MF: