Well, which game are we talking about here?
The following examples all rely heavily on the fact that I was not aware that I was going to respawn. These would be my first words if I respawned in:
Borderlands: "Wait, this isn't right. My vision was shrouded with darkness, everything went black, I went through a tunnel...Oh, shit, I'm in hell. I'm condemned to go through eternity playing a video game with no drama."
Half-Life 2: "..." (Get it? Gordon Freeman doesn't talk. ...Actually, that might explain why he never says anything when he respawns.)
Team Fortress 2: "I'm alive! ...And my nationality is totally different from when I died!"
One o'dem war shooters, like Modern Warfare (first time): "Holy shit, I'm a supersoldier!"
War shooter, any other time: "Oh, man, I died again. I'm totally gonna get KP for this!"
Left 4 Dead: "...I'm not...one of them?...Now, if I'd known that was going to happen, I wouldn't have been so careful earlier!"