Famously said by Queen Victoria
Victoria's comment is said to have been inspired by the Hon. Alexander Grantham (Alick) Yorke, one of her grooms-in-waiting.
Alick apparently told a risque story to a German guest who laughed loudly, moving the queen to ask that the story be repeated. It was, and she wasn't. Amused, I mean. She was not using the royal "we", though, but rather was speaking for the affronted ladies of the court.
Another version has it that in one of the amateur theatricals Alick liked to organize at the palace he undertook to do an impression of Victoria, who failed to see the humor of it.
Cut, edited, and pasted from the "Straight Dope