I really think it was a "please kill me" sort of plea. Dumbledore was weak and caught, and they'd have taken him to Voldemort. Snape did his bidding -- whether out of self preservation, or some sort of loyalty. Probably some combination of the two.
It seemed like a shocked sort of response to me. Dumbledore, of course, never feared death; he however was shocked that a man he forgave and trusted (despite knowing what Snape did) would turn on him. Plus, Snape was described as having a pretty vindictive, sneering look on his face before he killed Dumbledore.
While I wasn't that shocked with Dumbledore's death, I was shocked that Snape killed him. Rowlings spent five books convincing us that Snape was a creep, but was on the right side. However, it turns out that Snape really was a bad guy all along.