Gosh, I don't ever recall saying "Roger"... if given an instruction my last word, following the read-back, was always my tail number. If asked a question like, "Did you copy OK?" or "Are you squawking 1234?" my response would be "affirmative" or "negative" followed by a read-back of the question ("Negative copy...", etc.). It was after the read-back of a frequency hand-off where my final utterance would be something like, "So long", "Adios" or "Have a good night". That's in the VHF ATC world.
As Ron points out, things are a bit different on HF, primarily because the pilot is not talking to ATC but rather to ARINC operators relaying communications between pilots and ATC facilities. There, because of the often more difficult reception environment (static, fading, etc.) pilots and ground operators will use "Over" or "Go ahead" to indicate the end of an individual transmission and "Out" to indicate their last transmission (end of conversation), and you will also hear a "Roger" from time to time, generally in the form of a busy ground operator acknowledging receipt and understanding of a transmission in lieu of a full read-back ("Copy all..."), such as "Roger on your DARUX position report, change now to...". But just as with VHF pilots and ground operators will often say "Thanks for your help", "You're welcome" or "Goodnight" when parting company.
