Woman: Mr. Waller, what is swing?
Fats Waller: Lady, if you gotta ask, you ain't got it!
A classic story from the golden age of jazz music, the original form of this anecdote is given above. It exists in a dozen variations; the response is variously ascribed to Duke Ellington, Count Basie, or, most commonly, Louis Armstrong — more commonly to the latter, in fact, than to Waller himself. This is undoubtedly because Louis Armstrong's fame has proved enduring, while Waller is one of many figures who, so to speak, look titanic from within jazz, but invisible from outside it; this is not the only jazz anecdote which has been reassigned to Armstrong, not remotely. Nevertheless, the correct attribution is to Waller; the particular variation at the top was reported by Art Tatum, a fellow jazz pianist and devoté of Waller, long before the story gained general currency. It's also consistent with Waller's personality and stage persona; he loved to fire off gags and quips during performances.
The answer is also subject to a number of alterations, and again one of them appears (but we can never know this for certain, unless NSA surveillance administrators take a much deeper interest in scanning for jazz anecdotes than hitherto suspected) to have overpowered the original, so that the variant of the anecdote which I believe to be the most common runs as follows:
Woman: Mr. Armstrong, what is swing?
Louis Armstrong: Lady, if you gotta ask, you'll never know.
Other responses I have seen include »If you don't know, I can't tell you«, and »If you don't know, don't mess with it«.