Firefly Studios' Stronghold had the best quotes in a strategy game:

"Let them burn!" - Flaming Archers

"This armor's heavy." - Pikemen whining

"The new jester is really funny." - Jester

My personal favorite is in Stronghold: Crusader.  Firefly rewarded all of us who beta tested the game by having the voice actor record a greeting for each of us.  When we type in our user name, the game greets us specifically.  Mine says "Greetings Lord Tigger".  I still have the .wav file. 

Some others for you strategy gamers:

"Burn this village, my lord?" - Lords of the Realm III

"Thank you, enjoy your purchase." - Bentusi in Homeworld

"Sool sool!" - The Sims

Miscellaneous:

"Come on, honey... let’s get hopping!" - Bunny the prostitute in Arcanum

"@#$% rookie!" - SWAT 4 when you shoot one of your own men.

"She's got a body built for the bedroom." - Vampire, The Masquerade: Bloodlines

"Tango down!" - Rainbow Six: Rogue Spear

"Wow!  It's just like a videogame!  A very well-made videogame!" - Armed and Dangerous