Whenever I'm playing in an organized sport (like soccer or basketball) I always shout "Khazad! Khazad-aimenu! Baruk-khazad!" at the opposing player I happen to be trying to steal the ball from. If I'm pressed for time I just shout "Khazad-aimenu!" In track I always yell "Noro lim, (insert name), noro lim!"
I've just started doing this one: whenever I have a pop quiz in a class I say "Wicked, tricksy, false (insert teacher's name)! You promissssed us that we wouldn't have a quiz; gollum, gollum! We hates you, we hates you forever!" Needless to say, that last part is usually muttered under my breath.

Of course I also do the "My Prrrreciousssss" thing all the time; for some reason it seems to annoy my friends.

I almost forgot about this one: my English teacher decided to switch the seating arrangement in his room, and once everyone had found their new spot and sat down I said (in my best Galadriel voice), "The world is changed." Unfortunately, not that many people got it, or they just gave me weird looks. Oh well, at least my totally-obsessed-with-LotR-slightly-a-Leggy-bopper-friend got it.