Well, there are a few favorites of mine.

When WC Fields lay on his deathbed he (allegedly) heard a newsboy hawking papers out on the bitter old, snow-covers streets. "I think I'll leave all my money to the poo newsboys," he said, feebly. A moment later, he said "On second thought, fuck the newsboys."

and,

When someone famous (memory faileth) was about to be hanged he said :I pray you will assist me to the top of the ladder. As for the descent, I shall fend for myself."

and (as I'm told by a friend at the NTSB), the universal last words recorded by pilots who are about to crash are "Oh shit..."