"Oh, would you guys shut the hell up? Technically speaking, y'all are dying, too." But in reality, I'd probably be crying too much to say anything really and my last words would be something like "buh, buh, buh I duhWANNAdie!"
Letting the minotaur eat you is no way to escape the labyrinth. You have golden thread in your pocket, use it. I Love you all, never forget it, never doubt it. Be good. If I don't see you in Heaven, there'll be Hell to pay. Bury me under a starry sky, and plant honeysuckle over my grave.
I think just before I die I would like to stretch my legs and say "Now, it is time for my leap of faith." then lay down and pass on. However on the offhand chance that I die by being chased and subdued by a giant dark flame monster in the Mines of Moria it would have to be "Run... you fools!" =]