In Revolutions (spoilers ahead - but this is an old movie) everything leads up to one big final confrontation. During this scene we are treated to a superb monologue from Agent Smith (Hugo Weaving). This is one of those scenes that actually make you pause and consider.
Walking in to this final battle Trinity ( I suppose you could call her Neo's soulmate) has already given her life so that Neo can complete his task. In the second film he asks the Oracle "What happens if I fail?" to which she replies "Then Zion will fall." Zion being the last human city on Earth.
Keeping all this in mind Neo enters the Matrix to fight Agent Smith in one major final confrontation. They fight and Neo takes more of a beating then Smith. He gets up, spits out blood before taking up a defiant fighting stance in what is a homage to the first film.
This is the scene that immediately follows:
Many would say that Neo's reply is stupid, and it is what I initially thought, but when you keep everything that has happened in the two films in mind it makes sense. Smith states "Why keep fighting? You must be able to see it Mr. Anderson. You must know it by now. You can't win... it's pointless to keep fighting." And that's where Neo's answer makes sense. Instead of choosing capitulation he chooses to keep fighting.
I believe that life is full of choices. At any given moment we always have a choice. Sometimes people say that they didn't have a choice. But here is a line from a different film that has been adapted from the original book:
"Dark and difficult times lie ahead. Soon we must all face the choice between what is right and what is easy." Albus Dumbeldore - Goblet of Fire the film.
Shortly after this scene Neo dies. But so does Agent Smith.