Depends. Am i holding the button to the secret nuke directly underneath us?
Or do i have the one item they want and are only after?
Or (and this is my favorite), am i the main 'evil' guy, in which case i always have that trick to kill many of them even when doomed (like when i die i release some sort of deadly power over them or the land or the animals etc. etc., like Sauron)
So to summarize, i fight to the end while preparing my final evil. And my final breath is that of a malicious laugh.
Edit: I realize that every main evil guy has devoted 'followers'. And those followers always wish to bring me back, nudge nudge wink wink. Whose up for saving their lord to conquer and enslave while getting a reward, hmmmmmm?