One of my favorite villain's last words bits is by the comic villain Otto in A Fish Called Wanda.

He gives a great schpiel when he's stuck in cement and K-K-K-Ken is c-c-c-coming to kill him, running through a whole gamut of strategies. Technically, his very last word is a little later and is the last word in the film, when, covered in cement, he blows off the plane.

It's K-K-K-Ken, c-c-c-coming to k-k-k-kill me! How you gonna catch me, K-K-K-Ken!... Shit! Fucking Limey cement... Ken! Ken! Wait! Wait, Ken! Kenny! May I call you Kenny? I got the deal of a lifetime, what do you say? Fifty-fifty? Okay, okay. Sixty-forty! My final offer. Wait - I got an idea. You take it all... Here's my boarding pass, Ken. Okay... Fine, Ken. Come at me! Give me your best shot! Go on, Ken! You don't have the guts! Admit it!... Okay. You have the guts. Good. Wait. Alright - I'm sorry I ate your fish, okay? I'm sorry! Jesus! I said I'm sorry, okay? What the fuuuuuuck!
(much later)
Asshoooooole!

http://www.youtube.com/watch?v=Zr9qX9k1Y98