I own none of these characters they all belong to the wonderful and beautiful J.K.Rowling this will include all deaths including ones that did happen then were undone... Spoilers...
Again do not read this chapter unless you have either read or watched the entire series.
I own none of these characters I just have the privilege to read these great stories.

Harry Potter and the Philosophers Stone

James Potter: [unknown... probably something like "Run Lily!" Or a spell or "leave them alone" something heroic]

Lily Potter: "Harry momma loves you, dadda loves you. harry be strong... be safe. We love you Harry...be brave."

Lord Voldemort...Tom Riddle: "Avadacadavra"

Professor Querril: "What is this magic!"

Lord Voldemort... on back of querrils head: "Fool! Get the stone!"

Harry Potter and the Chamber of Secrets
Gilderoy Lockheart: not really dead but he doesn't know who he is. "obliviate"

Tom Riddle (16 year old) 50 year old memory: "what are you doing? No wait! Stop!!!"

Harry Potter and the Prisoner of Azkaban

Buckbeak: "Squak" [comes back with time turner]

Serius Black: "argggg" [comes back with time turner]

Harry Potter and the Goblet of Fire

Caretaker for grave yard (man... unknown): "ahhhhhhhhh"

Barty Crouch Senior: "You!" [his sons wand]

Cedric Diggory: "Who are you what do you want?!?!"

Harry Potter and the Order of the Phoenix

Serius Black: "Nice one James"

Harry Potter and the Halfblood Prince

Albus Dumbledoor: "Severus please"

Harry Potter and the Deathly Hallows

Charity Burbage: "Severus please... we're friends"

Hedwig: "Squak!!!" (killed by death eater because she protected Harry)

Alastor "mad eye" Moody: "Mundungus!!!"

Gregoravitch: "it's with him...hahahahhah!!!" (That was an evil laugh...)

Bathilda Bagshot: [Last words unknown because she was possessed by Nagini]

Grindlewald: "He took it! I swear on my life"

Peter Pettigrew: [last words were probably "please... my lord." or "forgive me.. my lord"]

Dobby (the free house elf): "Dobby is a free elf... Dobby is happy to be with his friends... Harry Potter."

Vincent Crab: "Fiedfyre! Ahhhh" [killed by his own curse... How thick can you get?]

Fred Weasley: "Gerogie" or a spell [still not over it...😭]

Severus Snape: "you have your mothers eyes..." {i cried}

Remus Lupin: "you should be at home Teddy needs his mother."

Nymphadora Tonks: "Remus!!! I'm sorry Teddy"

Colin Crevey: [unknown] (poor guy all he wanted was a picture)

Harry Potter: "stay close to me?"
(Re-vived by the resurrection stone)

Bellatrix Lestrange: "ahahahaha" (killed by non other than our own MOLLY WEASLEY!!! You go girl!!!)

Tom Marvelo Riddle(Lord Voldemort): "Avada cadavra" [killed by his own killing curse... *slow claps* bravo you have been reduced due to your own stupidity...]

And that is all the deaths that anyone ever needs to know about... Sorry if I forgot anyone!!!
Again I own non of these guys just their memory!!!