I've been re-reading the Harry Potter books over the last month, and this particular question occurred to me when reading the start of Order of the Phoenix. The following quote sums it up rather nicely:
Dudley seemed incapable of saying. He shuddered again and shook his large blond head, and despite the sense of numb dread that had settled on Harry since the arrival of the first owl, he felt a certain curiosity. Dementors caused a person to relive the worst moments of their life. What would spoiled, pampered, bullying Dudley have been forced to hear?
Chapter Two - A Peck of Owls, Order of the Phoenix
All I managed to find at the time was this quote from JKR:
Amy: What did Dudley see when he faced the Dementors in book five?
JK Rowling replies -> Ah, good question. You'll find out!
So, thinking that perhaps there was something in one of the final two books that answered the question, I carried on reading. However, I'm now about a third of the way through the last book and this hasn't been answered; I don't recall there being any scenes with the Dursleys (other than a young Petunia) in the remainder of Deathly Hallows so I'm expecting to finish reading without an answer.
Is there any canon information (JKR writings, interviews or a book quote that I've missed or yet to read) that states what Dudley heard when he and Harry were attacked by the Dementors?