When Sam reaches down to grab Frodo in Mt. Doom scream "Goonies Never say Die!"
If no one has done this, then you've obviously thought it;
After Aragorn talks about what he'll do to Sauron, Legolas says "You mean to create a diversion." At this point either yell "Duh!" or " Thank's Mr. Obvious!". The best one I've heard from my friends is " No shit Sherlock!" Then when it goes back to Aragorn or Gandalf yell "Ex-lax Watson!"
When Gandalf and gang are at Isengard and the shot goes to Saruman shout "looks like he finally got the shaft!" Dunno why that one struck me as funny.
The best one that really doesn't need any saying is when Frodo is in the caves and yells "Gollum it's sticky, what is it?!"
Although you can yell " Do you really want to know frodo?!"
When Gandalf is reading from the dwarf book when the line is " we cannot get out, we cannot get out" shout this: "in the castle 'AHHHHHH!!!!!'"
(some will know that's from Monty Python's Holy Grail)
Tha's all I got for now, but more will come soon. My friends and I are going to have a marathon with audience participation when the third movie comes out. There will be oh so much more! We LOVE Rocky Horror, we're really fanatic about it and we love LOTR, why not combine!