I have gone through and collected the last phrases that some of the main characters have said in BtVS and AtS and phsycho-annalyzed them. At the bottom of the page are last words that I didn't have anything to say about.

Buffy: I love you.
Chosen
Her last word techniqualy was "Spike", but it goes with this anyway. The last thing Buffy ever said on her 7 year show was confess her love for Spike (I'm not shipping here, it's a fact). For the rest of the show Buffy doesn't say anything else. This really shows her maturity (no more witty punns). Would it have been as good if she had said anything at thevery end?

Cordelia: You're Welcome.
You're Welcome
At the end of this ep both Angel and Cordy are teary. At the last second and the last shot we ever see of Cordy, she reverts back to Classic-Cordy as she says "You're Welcome" with a smart*ss tone and a head cock. I adore her... oh, and this line.

Xander: All those shops gone. The Gap, Starbucks, Toys R Us. Who will remember all those lanmarks unless we tell the world about them.
Chosen
How suiting that the last thing Xander says is a joke. Hopefuly the irony of his statement was not lost on anyone. All I can say is Xander:Funny.

Giles: We have a lot of work ahead of us.
Chosen
Ahh, Giles. All work, no play. Okay, not so true, but you have to admire the purity of it. I am sweetly reminded of Tweed-Man-Giles from Season One.

Faith: Yeah, you're not the one and only Chosen anymore. Just gotta live like a person. How's that feel?
Chosen
This statement says to me, "I'm Faith, and I've finally told you my whole point without trying to drag you to the dark side."

Dawn: Yeah, Buffy. What are we gonna do now?
Chosen
Buffy is till Dawn's older sister who Dawn very much looks up to. I like Season 7 Dawn.

Angel: Let's go to work.
Not Fade Away
Angel is always a man at work. The never ending road to redemption, no? Also, Angel gets really antsy when he doesn't have a case.

Gunn: Then let's make 'em (10 mins) memorable.
Not Fade Away
Right-o Gunn! Way to be positive!

Connor: They'll destroy you!
Not Fade Away
So now you care?

Anya: Bunnies! Floppy, hoppy, bunnies.
Chosen This was perfect. It totally wasn't the time for Anya to confess her undying love for Xander, it was time to be Anya when the only thing that is standing between her and death is Anya. Bunnies have been Anya's constant and what an appropriate battle cry!

Lorne: That's all folks.
Not Fade Away
It is sad that Lorne was driven to that, but it was suiting because Lorne loves the show biz. (See Thoughts on Not Fade Away)

Doyle: Too bad we'll never know...If this is a face you could learn to love.
Hero
All he wanted was for Cordy to notice him. All it took for him to come clean was impending death and the fact that she found out on her own. He truly was a hero.

Other Last Words
Tara: Your shirt. Seeing Red
Willow: The first is scrunched, so... what do you think we should do, Buffy? Chosen
Spike: Bit more specific. Not Fade Away
Illyria: You're fading fast. You'll last 10 mins at best. Not Fade Away
Wesley: I- I love you. Not Fade Away
Fred: Why can't I stay? A Hole in the World
Oz: Pretty much now. New Moon Rising