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".
I was always led to believe (although it's probably an urban myth) that the "we" to whom Victoria referred was herself and the late Prince Albert of Saxe-Coburg-Gotha.

Victoria never got over Albert's death and continued to mourn for him, wearing black for the rest of her life. (Does this make Victoria the first geek chick?... perhaps I shouldn't go there.) Nonetheless she continued to refer to him in conversation as if he was still by her side.

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