According to the Historia Augusta, right before Commodus's would be assassin stabbed him, he exclaimed, "Hunc tibi pugionem senatus mittit" or "This dagger, the senate sends for you". Are there other famous instances of assassins stating the source who had sent them? Was there any clear reason for such an exclamation?
There's at least one Biblical example.
Ehud then approached (Eglon, king of Moab) while he was sitting alone in the upper room of his palace and said, “I have a message from God for you.” As the king rose from his seat, Ehud reached with his left hand, drew the sword from his right thigh and plunged it into the king’s belly. Even the handle sank in after the blade, and his bowels discharged. Ehud did not pull the sword out, and the fat closed in over it. Then Ehud went out to the porch; he shut the doors of the upper room behind him and locked them.
If you want to blur the lines between history and myth in the early Republic Livy tells us about Gaius Mucius Scaevola who was involved on the Roman side during the Clusan Lars Porsena's assault on Rome to restore the Tarquins. The youth snuck into the Etruscan camp and came upon Lars and his secretary sleeping. Mistaking one for the other he plunged his danger into the man's heart saying right afterwards (while being overpowered before he could kill lars)
‘I am a citizen of Rome,’ he said, ‘men call me C. Mucius. As an enemy I wished to kill an enemy, and I have as much courage to meet death as I had to inflict it. [10] It is the Roman nature to act bravely and to suffer bravely. I am not alone in having made this resolve against you, behind me there is a long list of those who aspire to the same distinction. If then it is your pleasure, make up your mind for a struggle in which you will every hour have to fight for your life and find an armed foe on the threshold of your royal tent. [11] This is the war which we, the youth of Rome, declare against you. [12] You have no serried ranks, no pitched battle to fear, the matter will be settled between you alone and each one of us singly.’
and then when threatened with being burned alive to reveal the rest of the plot he stuck his hand in the flames saying
Look,’ Mucius cried, ‘and learn how lightly those regard their bodies who have some great glory in view.’
which impressed Lars enough that he returned the man to Rome and retired realizing a siege against such a population was hopeless.
This is also the location of the famous incident of Horatius at the Bridge (here's Macaulay's great poem: www.bartleby.com/360/7/158 ) and the story of the woman Cloelia.
now none of these stories are probably true and it is likely Rome actually fell to the invaders at this point but it's too good of a story not to tell.