This often-repeated chestnut (and misquote) is a staple piece of conversation between science fiction fans of the older generation. Derived from Buckaroo Banzai, this was quoted to his love interest, Penny Priddy. Much like other bits of the movie, it has reached something of a cliche status (albeit not quite of a cliche as the ever-present Monty Python quotes).
Example usage:
Fan #1: Dammit, Bob, I thought the comic book store was down Emerson! Where the hell are we?
Fan #2: I dunno, Bill, but wherever you go, there you are.
Somewhat less frequently, this is used as a consolation to depressed fen who are experiencing a midlife crisis or other moments of angst. Due to the somewhat ironic nature of the standard usage, however, this often leads to the quote being taken as sarcasm.
The full and more accurate quote is: "Remember... no matter where you go, there you are."