Actually, thanks to the History Channel, he was actually referring to the enemy snipers when he was killed. It was "History of the Gun - Snipers", IIRC.
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I first came across this story in "The Experts Speak," a collection of "expert wisdom" edited by Victor Navasky and Christopher Cerf. If you enjoy this site, you might like that book also.
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According to Wikipedia the exact quote is an urban myth. He said something along the lines of the quote a few minutes before being shot. However, it's not his last line and he wasn't shot in the middle of it.
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