Source, in full
Often attributed to Twain, but he said it was attributed to Benjamin Disraeli and this itself is probably a misattribution: see Lies, damned lies, and statistics and Leonard H. Courtney. Twain did, however, popularize this saying in the United States. His attribution is in the following passage from Twain's Autobiography (1924), Vol. I, p. 246 (apparently written in Florence in 1904)
Notes from Wikiquote
Figures often beguile me, particularly when I have the arranging of them myself; in which case the remark attributed to Disraeli would often apply with justice and force: "There are three kinds of lies: lies, damned lies, and statistics".