Lea: "Thank you for freeing me, if only for a little while."
In One Piece, a pirate attempts to commit suicide by biting his tongue as an alternative to being sold as a slave.
Kagura in InuYasha is eventually freed from the sway of Naraku but he mortally wounded her before he let her go. After reuniting with Sesshomaru, she understands she's going to die anyway and welcomes death as her own liberation.
The Hork-Bajir war cry in Animorphs is simple: "Free or dead!".
Aurion Redeye in The Iron Tower Trilogy by Dennis L. McKiernan. He is given a choice by an emissary of an evil wizard to choose between "Slavery or Death". He says, "You tell your master that Aurion Redeye chooses freedom!" The emissary does not like this and responds with, "Then you choose death." Aurion Redeye is eventually killed in a siege and his tomb says, "Who chose freedom."
Except that Dobby was freed ages ago, in the 2nd book. He WAS free when he died, but he was not free as a result of said event.
The Discworld book Going Postal has an odd example of this trope. A golem who has been active for so long that it counts as 'alive enough' is destroyed and its spirit finds its way to the place between life and afterlife. Death tells it that by moving on it will reach the afterlife, but the Golem is content to simply sit down in the boundary and stay there. Death asks it why, since there is nothing to do here. The golem simply replies that makes it perfect. With there being nothing there, there are no orders, no commands, no imperatives, and nothing to do. In other words, a state of perfect freedom.
A huge theme of Going Postal is the true nature of freedom. Vetinari has very specific views on this subject, believing that true freedom is more horrible than can be comprehended, because to be truly free you must be without attachments of any kind, without fear, inhibitions, conscience, repercussions, and any of those things that keep us from doing terrible things. He much prefers reminding people that they are free... to take the consequences if they so choose. Which is what was offered to Moist von Lipwig, when he subverted this trope by dying and finding himself quite free to either take the postmaster's job, or step into a pit of spikes. It's ambiguous, but implied by Vetinari, that Reacher Gilt took this trope to the logical conclusion when Vetinari offered him the a similar deal and intentionally stepped into the pit.
Vetinari: You have to admire a man who really believes in freedom of choice. Sadly, he did not believe in angels.
In To Kill A Mockingbird, Mrs. Dubose is determined to break her morphine addiction before she dies, despite adding withdrawal symptoms to her chronic pain.
"Did she die free?" asked Jem.
"As the mountain air," said Atticus. "...—I wanted you to see what real courage is, instead of getting the idea that courage is a man with a gun in his hand. It's when you know you're licked before you begin but you begin anyway and you see it through no matter what. You rarely win, but sometimes you do. Mrs. Dubose won, all ninety-eight pounds of her. According to her views, she died beholden to nothing and nobody. She was the bravest person I ever knew."
One of the stories in Exiled: Clan of the Claw ends this way, after the Mrem slave drinks poisoned wine in order to convince his Liskash master to drink it as well.
Liskash: You die as well!
Mrem: I die free. I die for my people. You just die.
Stargate SG-1: The motto of free Jaffa, the ones who've realized their "gods" are just Puppeteer Parasites: "Shel kek nem ron!" Translated: "I die free." (Also used as a passcode between the free Jaffa.)
Played with in an early episode, where Teal'c says this for himself and his Master, Bra'tac, as their fighter drifts powerless in Earth orbit after stopping a Goa'uld invasion. O'Neill (in another fighter) chimes in with "Or not," as a Shuttle shows up to rescue them.
A non-Teal'c example is Gerak: having previously become a Prior, he agrees to cure the disease that the Ori have unleashed on Earth, knowing full well that if he does, the Ori will kill him:
Robin: Listen to me. Our friends who were killed, they'll never starve, or be tortured or chained in the dark. They're here with us, in Sherwood, and they always will be because they're free.
In the Doctor Who serial Castrovalva, when the denizens of Castrovalva (a time/space trap created by the Master to destroy the Doctor) rebel against the Master, destroying the trap and themselves: "You made us, man of evil, but we are free!"
The Extended Cut of Mass Effect 3brings the whole thing full circle with Shepard invoking this word for word in the Refusal ending.
The Control ending for Mass Effect 3 has the rewritten Catalyst, now programmed with Shepard's mind state that with Shepard's death while reprogramming the Reapers, his/her mind is "now freed."
Before entering his final battle in Final Fantasy VII: Crisis Core Zack utters: "The price of freedom sure is steep". It's a bit unclear if turning himself in peacefully was an option or what his fate would have been if he had done so.
It wasn't. The Shin-Ra army was ordered expressly to kill both Zack and Cloud, and Zack had been labeled KIA before the army even found him, since Hojo would rather have them die than allow the truth about the Jenova Project to reach the public. The only hope for Zack would have been if Reno and Rude had found him and Cloud before the Shin-Ra Army did.
He was labeled KIA back after the reactor battle, when Hojo picked him up. Unclear exactly what Tseng intended the Turks to do if they'd beaten the army there, but it's possible he'd have wound up back in the lab if he'd entrusted himself to their custody. Despite Tseng's clear heartache over the whole thing.
If Arcade is a prisoner of the Legion, the epilogue of Fallout New Vegas reveals that he eventually took his own life rather than face life as Caesar's slave. He does this by disemboweling himself, a nod to the fate of Cato the Younger at Utica.
Dragon Age II: Hawke's mother Leandra says this as she dies, free of the horrific spells and magic that had been done to her. Free to return to those of Hawke's family who have since died.
Anders invokes this trope at the end when he blows up the Chantry. He believes it's better for Kirkwall mages to die fighting for their freedom than live under the Cricle.
In the final mission of Warcraft III, Thrall said to Archimonde (who was about to kill him): "Our spirit is stronger than you know, demon! If we are to fall, then so be it! At least now we are free!" In the previous two games in the series, the orcs had been More than Mind Control servants to the demons. Then he teleported away, so this may not count...
A better example might be Thrall's friend Grom, who dies in battle against the demon Mannoroth, who originally corrupted the orcs. As he lays dying from his wounds, he remarks that at least he was able to free himself, to which Thrall responds, "No, my friend.. you've freed us all."
In Borderlands 2, Angelasks the player character(s) to end her suffering as her own father has kept her imprisoned as a living power source to charge a key necessary to unlock a superweapon. She is so desperate to be free of her situation that she sends the protagonist(s) extra ammo as they destroy the systems keeping her alive.
Frank: This is the first time in the whole campaign I've felt really free to make my own choices. I kinda like it. DM: But you're dead! Frank: And you can't force me to do anything! DM: And decomposing! Frank: Of my own free will!
Samurai Jack when the lava monster turns out to be a Viking trapped by Aku and wanting to die. He brings up this trope.
Older Than Feudalism: In 73 AD, a band of Sicarii rebels took refuge in the fortress of Masada, and the Romans, against whom the Sicarii were fighting, laid siege. When the siege was about to break, the Sicarii leader, Eleazar, convinced his followers that death was preferable to being either enslaved or slaughtered by the Romans. They committed mass suicide.
The Jewish taboo against suicide was dodged by killing each other. The soldiers drew lots to decide who would kill each other, until only one was left, so that only one person would have to die by their own hand.
The exact last words of hacker Jonathan James.
Spartacus, the man who traveled across Italy freeing slaves from every town he encountered. When the Romans finally defeated him, they offered a chance for the slaves to get off. The 1960 movie's ending made the story famous enough that it named a whole other trope, but it is also a perfect example of this; the fact that (whether they actually all claimed to be Spartacus as in the film or not), they ended up choosing to be crucified over being spared but spending the rest of their lives as slaves.