I think it depends if it's in a work context or not. If you're with friends/family you can say whatever you want really...
"I wasn't done"
"Hang on a minute"
"Let me speak"
"Bloody hell, I can't get a word in edgeways!!" etc etc.
But at work it's a bit different. I've found a couple of things helpful in meeting/conference situations:
• Signpost what you're about to say i.e. "I have two points to make about this. The first is...", "Well I'll explain what happened during the pilot and then I'll explain my thoughts on whether the rollout will work. During the pilot...", etc. Then people know what you're planning to cover and should be able to better tell when you're finished. If not, you can say something like "so as I said I'd like to move on to my second point" etc.
• Use a three step approach when an individual person keeps interrupting. Step 1: "sorry, can I just finish what I was saying?" (The sorry is not really apologising, it's just letting them save face) Step 2: "can you let me finish what I was saying?" (The 'can you let me' puts the responsibility on them and politely calls them out for interrupting) Step 3: "John, I'm not finished." (Firm tone, uses their name which makes people think about how others are perceiving them). Repeat step 3 every time that person interrupts after that. Repetition draws everyone else's attention to the behaviour and should embarrass the interrupter.
• An effective chairperson should be watching for this kind of thing and managing input so that everyone gets a chance to be heard. If the above hasn't worked, still keep doing it, but if you're comfortable doing so you could speak to the chairperson about managing interruptions e.g. "I noticed in the meeting that people were interrupting others speaking. As it's often hard to be heard in a group setting, would you be open to introducing some ground rules so that everyone can contribute if they wish to and not be interrupted?"