I honestly don't recall if Mario says anything when entering worlds, but this is what he says when entering levels.
Super Mario 64 and New Super Mario Bros. Wii:
"Let's-a go!"
Super Mario Sunshine and New Super Mario Bros. DS:
"Here we go!"
In Super Mario Galaxy 1 and 2, Mario simply goes "Yahoo!" when you select a galaxy to fly to, but he doesn't say anything when you select a mission.
Chat with our AI personalities
He say's " Thank you so nice". -On New Super Mario Bros. It sounds more like, "It's a me. Mario" It depends upon which Super Mario bros. game you're playing.
Go on the level and it will say the world number on the cannon. If you don't want to skip the other levels then you can just pause it and quit and it won't affect your lives.
Here we gooo! (super mario 64) Oh yeah! Mario time! (new super mario bros wii u Wahoo! (various) Thank you so nice! (new super mario bros) Okeydokey! (I remember it from mario vs donkey kong, probably in others too though) I got it! (Leveling up on Mario & Luigi Bowsers Inside Story) Mario number one! Yeah, Mario wins! Wahoo! Oh yeah, I did it! etc (Mario Kart series)
When Mario dies he says "Oh no!"
Like any other baby. But if it's not that, then let's just say that anything in the Nintendo world happens.