I usually fly a Galleon, and its weak spot is the balloon, whenever I die, my balloon is down too, so in this situation I cry:
"My kingdom for a balloon!"
Or when I want to be comical I cry "Abandon ship!" Followed by at least 2 crewmen jumping overboard.
If I'm killed as I'm trying to ram I usually resort to cliché phrases like
"I'll be back!"
"'Tis a minor setback!"
"Never retreat! Never surrender!"