It is a strange fact that the most oft repeated quotes were never actually said in the first place. Pehaps the most common of these is Sherlock Holmes's famous expresion: "Elementary, my dear Watson". I have scoured every Sherlock Holmes story, and found that on no occasion does Holmes say, "Elementary, my dear Watson", he says "Elementary" and "My dear Watson", but never the famous phrase.

TenMinJoe says: He does say it in the films, apparently. Obviously this shouldn't really count, but I think that's where it comes from.