Luke 23:34 Then said Jesus, Father, forgive them; for they know not what they do. And they parted his raiment, and cast lots.

Matthew 27:46 And about the ninth hour Jesus cried with a loud voice, saying, Eli, Eli, lama sabachthani? that is to say, My God, my God, why hast thou forsaken me?

Mark 15:34 And at the ninth hour Jesus cried with a loud voice, saying, Eloi, Eloi, lama sabachthani? which is, being interpreted, My God, my God, why hast thou forsaken me?

John 19:30 When Jesus therefore had received the vinegar, he said, It is finished: and he bowed his head, and gave up the ghost.

In addition to the few words spoken by Jesus while He was on the cross and other recorded prayers of His, we can be certain that Jesus also prayed the words that are written in the Prophets and in the Psalms. He may have prayed all of Psalm 22 as he hung on the cross:

Psalm 22:
1 My God, my God, why hast thou forsaken me? why art thou so far from helping me, and from the words of my roaring?
2 O my God, I cry in the daytime, but thou hearest not; and in the night season, and am not silent.
3 But thou art holy, O thou that inhabitest the praises of Israel.
4 Our fathers trusted in thee: they trusted, and thou didst deliver them.
5 They cried unto thee, and were delivered: they trusted in thee, and were not confounded.
6 But I am a worm, and no man; a reproach of men, and despised of the people.
7 All they that see me laugh me to scorn: they shoot out the lip, they shake the head, saying,
8 He trusted on the LORD that he would deliver him: let him deliver him, seeing he delighted in him.
9 But thou art he that took me out of the womb: thou didst make me hope when I was upon my mother's breasts.
10 I was cast upon thee from the womb: thou art my God from my mother's belly.
11 Be not far from me; for trouble is near; for there is none to help.
12 Many bulls have compassed me: strong bulls of Bashan have beset me round.
13 They gaped upon me with their mouths, as a ravening and a roaring lion.
14 I am poured out like water, and all my bones are out of joint: my heart is like wax; it is melted in the midst of my bowels.
15 My strength is dried up like a potsherd; and my tongue cleaveth to my jaws; and thou hast brought me into the dust of death.
16 For dogs have compassed me: the assembly of the wicked have enclosed me: they pierced my hands and my feet.
17 I may tell all my bones: they look and stare upon me.
18 They part my garments among them, and cast lots upon my vesture.
19 But be not thou far from me, O LORD: O my strength, haste thee to help me.
20 Deliver my soul from the sword; my darling from the power of the dog.
21 Save me from the lion's mouth: for thou hast heard me from the horns of the unicorns.
22 I will declare thy name unto my brethren: in the midst of the congregation will I praise thee.
23 Ye that fear the LORD, praise him; all ye the seed of Jacob, glorify him; and fear him, all ye the seed of Israel.
24 For he hath not despised nor abhorred the affliction of the afflicted; neither hath he hid his face from him; but when he cried unto him, he heard.
25 My praise shall be of thee in the great congregation: I will pay my vows before them that fear him.
26 The meek shall eat and be satisfied: they shall praise the LORD that seek him: your heart shall live for ever.
27 All the ends of the world shall remember and turn unto the LORD: and all the kindreds of the nations shall worship before thee.
28 For the kingdom is the LORD'S: and he is the governor among the nations.
29 All they that be fat upon earth shall eat and worship: all they that go down to the dust shall bow before him: and none can keep alive his own soul.
30 A seed shall serve him; it shall be accounted to the Lord for a generation.
31 They shall come, and shall declare his righteousness unto a people that shall be born, that he hath done this.