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Hint
Answer
"Precious, precious, precious! My precious! O my precious!"
Gollum
"Hail, King of the Mark! Ride now to victory! Bid Eowyn farewell!"
Theoden
"You told me to; you made me do it."
Grima
"Farewell, Aragorn! Go to Minas Tirith and save my people! I have failed."
Boromir
"Come hither! Come, if you are not all recreant!"
Denethor
"Hinder me? Thou fool. No living man may hinder me!"
The Witchking
"You do what Sharkey says, always, don't you, Worm? Well, now he says: follow!"
Saruman
"If you don't want the fun to begin right now, keep your trap shut, see? There's a reminder for you!"
Snaga
"I don't care, I have given you a present already, more than I could afford. I found this, and I'm going to keep it."
Deagol
"I don't need the help of your legs to get you away - and have you all to myself!"
Grishnakh
"In sorrow we must go, but not in despair. Behold! We are not bound for ever to the circles of the world, and beyond them is more than a memory. Farewell!"
Aragorn
"Let me lie here – to keep the ford until Éomer comes."
You should do a Silmarillion one! There are some epic last words in that one. Just off the top of my head: Fingolfin, Fingon, Glaurung, Hurin (I know he doesn't die after saying "Aure Entuluva", but it should still count!)...