Technically all F-Zero games have voice lines except for SNES and Maximum Velocity.
For X, GP Legend, and Climax, only the announcer has voicelines (though for X if you fall off the map, you can have a male or female voice screaming depending on the driver).
GX has a lot more voicelines than them, probably due to being the only one on a somewhat modern none handheld console (GameCube).