Caesar is surprised that his good friend and protege, Brutus, is part of the coup d'etat and assassination plot. This line shows the audience that Caesar has lost hope and faith. He is utterly fallen and betrayed. He gives up trying to fight off the assassins once he realizes that Brutas has joined in the conspirators.

Brutus here is portrayed as something of a Judas figure. The sense of betrayal of friendship is overwhelming. "Casca is the first to stab Caesar. It is fitting that Brutus be the last. Caesar’s words to him—Et tu Brutè? (and thou, Brutus?)—indicate his disbelief that his friend could do such a thing." (http://www.enotes.com/julius-caesar/act-iii-scene-1-summary-analysis)

Caesar's last words have significance in a couple of different ways.

1.  Caesar is not surprised by Cassius's part in his assassination.  Cassius had sided with Caesar's enemy Pompey and held a grudge against Caesar when Caesar gained the ultimate victory over Pompey.  Caesar's line in Act 1 about Cassius having a "lean and hungry" look demonstrates his suspicion of the ringleader early on.  Some of the other conspirators such as Metellus Cimber dislike Caesar because of his treatment of their friends and family.  In contrast, Brutus was a respected Senator whose family had a long line of political involvement, and many historians believe that Caesar respected and appreciated Brutus.  He saw him as a friend, and Brutus's difficulty in deciding whether to join the conspiracy illustrates his overall positive feelings toward Caesar.  Thus, Caesar is surprised and devastated that someone such as Brutus has taken part in his downfall.

2.  Some historians recorded that Caesar had had a relationship with Brutus's mother.  Of course, that evokes many "yo mama" jokes, but undeniably, Caesar's alleged affair would have affected Brutus in ancient times just as it would affect a son today. No one wants to see his mother disparaged or the subject of gossip.  Some rumors even circulated that Brutus was Caesar's illegitimate son and that that is why Brutus stabs Caesar in the groin.  Of course, that is just speculation, but it makes for an interesting connection to Caesar's last words.