You know what? One of my favorite villian doesn't give a grand speech, nor does he give any final words seconds before he dies. Yes people, I am talking about Kefka. Now, before you flame-rape me, Kefka talks to you BEFORE the fight, and you aren't exactly guaranteed to win, so basically, when you beat Kefka, he simply dies... And in a way, that is pretty powerful.
Anyway, despite the fact that I have never played FF7, 'I Will... never become a memory' by Sephiroth is still pretty strong.
But my all time favorite comes from... I actually do not know. To be honest, my range of games and quotes are pretty limited, and I can't really remember any good quotes. The same comes to books, TV, and other forms of Media. Therefore I will simply steal one from Yathzee:
"Deranged Paranoid Power Fantasy For Right-Wing Shut-Ins Who Would Blow Their Own Nuts Off The Moment They Were Handed An Actual FireArm, Probably Already Have Done... shooter."