I'm so surprised no one's ever done this
node!
The phrase "don't say I didn't warn you" is a common one. It's usually used when someone is trying to warn someone else about something bad that will probably happen if the individual being warned continues doing whatever it is they are in fact doing. The warning is rarely ever taken seriously, which is why the person words it the way they do. If the individual continues doing the stupid thing they're doing, and the inevitable bad thing happens to them, they can't then go back and blame it on the person who tried to warn them in the first place. Well they could but then they'd look real stupid.
This phrase often coincides with another personal favorite of mine: See? I told you so!