“I have no desire to die, but I count my death as nothing.”

Revelations of Divine Love (c. 1393), Chapter 2

Last words, according to his friend the Prince de Ligne (Mémoires et mélanges historiques et littéraires, book IV, p. 42 http://www.google.com/books?id=upYBAAAAMAAJ&pg=PA42&q=%22Grand+Dieu%22, translated for instance in: The Freeman, p. 224 http://www.google.com/books?id=mmkQAAAAIAAJ&q=%22Great+God%22+%22and+I+die+as+a+Christian%22)

Source: The Viscount Who Loved Me

Final lines of his Richard Dimbleby lecture Shaking Hands With Death on euthanasia and assisted suicide, quoted in "Terry Pratchett: my case for a euthanasia tribunal" in The Guardian (2 February 2010) http://www.guardian.co.uk/society/2010/feb/02/terry-pratchett-assisted-suicide-tribunal
General sources
Context: I dare say that quite a few people have contemplated death for reasons that much later seemed to them to be quite minor. If we are to live in a world where a socially acceptable "early death" can be allowed, it must be allowed as a result of careful consideration.
Let us consider me as a test case. As I have said, I would like to die peacefully with Thomas Tallis on my iPod before the disease takes me over and I hope that will not be for quite some time to come, because if I knew that I could die at any time I wanted, then suddenly every day would be as precious as a million pounds. If I knew that I could die, I would live. My life, my death, my choice.

Requiem; 1935-1940 (1963; 1987)
Context: No use to fall down on my knees
and beg for mercy's sake.
Nothing I counted mine, out of my life,
is mine to take...

Spoken on his deathbed to his sister-in-law, Sophie Weber (5 December 1791), from Mozart: The Man and the Artist, as Revealed in his own Words by Friedrich Kerst, trans. Henry Edward Krehbiel (1906)
Variant: The taste of death is on my tongue, I feel something that is not from this world (Der Geschmack des Todes ist auf meiner Zunge, ich fühle etwas, das nicht von dieser Welt ist).

Se, depois de eu morrer, quiserem escrever a minha biografia,
Não há nada mais simples.
Tem só duas datas—a da minha nascença e a da minha morte.
Entre uma e outra coisa todos os dias são meus.
Alberto Caeiro (heteronym), "Se, depois de eu morrer" (8 November 1915), trans. Jonathan Griffin.
Source: Poems of Fernando Pessoa

Visions
Context: One Pentecost at dawn I had a vision. Matins were being sung in the church and I was there. And my heart and my veins and all my limbs trembled and shuddered with desire. And I was in such a state as I had been so many times before, so passionate and so terribly unnerved that I thought I should not satisfy my Lover and my Lover not fully gratify me, then I would have to desire while dying and die while desiring. At that time I was so terribly unnerved with passionate love and in such pain that I imagined all my limbs breaking one by one and all my veins were separately in tortuous pain. The state of desire in which I then was cannot be expressed by any words or any person that I know. And even that which I could say of it would be incomprehensible to all who hadn't confessed this love by means of acts of passion and who were not known by Love. This much I can say about it: I desired to consummate my Lover completely and to confess and to savour in the fullest extent--to fulfil his humanity blissfully with mine and to experience mine therein, and to be strong and perfect so that I in turn would satisfy him perfectly: to be purely and exclusively and completely virtuous in every virtue. And to that end I wished, inside me, that he would satisfy me with his Godhead in one spirit (1 Cor 6:17) and he shall be all he is without restraint. For above all gifts I could choose, I choose that I may give satisfaction in all great sufferings. For that is what it means to satisfy completely: to grow to being god with God. For it is suffering and pain, sorrow and being in great new grieving, and letting this all come and go without grief, and to taste nothing of it but sweet love and embraces and kisses. Thus I desired that God should be with me so that I should be fulfilled together with him.

Source: Giovanni's Room