Caesar's last words before he goes to the senate concern having wine with "his friends" later that day, suggesting just how surprised that these men, especially Brutus, attack him. Despite the dreams and superstition, he is totally unprepared for this event. I think Caesar wished he would have heeded the advice of his wife Calphurnia, who, just before he left, pleaded with her husband to stay home because she sensed to go to the senate that day would bring him harm. “Darn, I should have listened to her,” might have been one thought. Another might have been regret that Antonyhad not followed up on his (Caesar’s) suspicions about Cassius rather than console him that Cassius was no danger. I have never been convinced that Caesar wants the crown as much as Cassius convinces others that he does. While Decius’s remark about the senate planning to give Caesar a crown that day when he goes to the senate is no doubt a reason Caesar rebuffs his wife and decides to go, Caesar does not tell us he intends to accept the crown, and he has already refused it in Act 1 upon returning from war.
"Et tu, Brute? Then fall, Caesar."
Caesar mentioned his concerns about guys like Cassius way back in Act One. Remember how he wished Cassius was "fatter"? So it's likely that he wasn't too shocked to see Cassius and some of the others attack his leadership, but he never expected it from Brutus. Brutus is a well respected leader in Rome, and, more important, a very good friend to Caesar. When you're being attacked, you expect your friends to help you, not join the fray.
What was he thinking as he died? Tough to say. I'd like to think the last thing that went through his head was about how famous these eight guys will be because they've killed the mighty Caesar! In reality, he was probably wondering what he did wrong to deserve this. Remember that only a month ago he was returning to Rome as the hero that defeated Pompey; now he's being stabbed in front of everyone. I'm sure he was quite confused about the inclusion of Brutus as well. Ultimately, he was probably upset about never getting the chance to wear that crown.