Via Scott Berkun, a nice 2007 article by Louis Menand in the New Yorker:
Sherlock Holmes never said “Elementary, my dear Watson.” Neither Ingrid Bergman nor anyone else in “Casablanca” says “Play it again, Sam”; Leo Durocher did not say “Nice guys finish last”; Vince Lombardi did say “Winning isn’t everything, it’s the only thing” quite often, but he got the line from someone else. Patrick Henry almost certainly did not say “Give me liberty, or give me death!”; William Tecumseh Sherman never wrote the words “War is hell”; and there is no evidence that Horace Greeley said “Go west, young man.” Marie Antoinette did not say “Let them eat cake”; Hermann Göring did not say “When I hear the word ‘culture,’ I reach for my gun”; and Muhammad Ali did not say “No Vietcong ever called me nigger.”
In order to have one that was said – Daniel Patrick Moynihan:
Everyone is entitled to his own opinion, but not his own facts.