Lol, my favorite ones are from "five". I like Richard Nixon's lines the best.
Nixon
Out of Ammo - "Who needs ammo when you have looks like mine..."
Max Ammo - "That's it? Max is all i get?"
Pwning zombies - "I got your gobble gobble right here freaks!"
X2 - "I don't need your stinkin' points I need your votes"
Revived - "Uh, what? I was just resting my eyes" (Maybe JFK's line)
Kennedy
Out of Ammo - "Your president needs slugs!"
Castro
Out of Ammo - "No more ammo? Time for a cigar break!"
Hit by zombie - "Get your filthy fingers off my uniform!"
X2 - "If only I got double the cigars..."
Other guy
Pwning zombies - "USA! USA!"
Revived - "No... It is not over..."
Yeah, they're pretty funny.

These are only the one's I remember.