All the things I really like to do are either illegal, immoral, or fattening.
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Source, in full
"The Knock at the Stage Door" in Reader's Digest (December 1933); also in A Dictionary of Catch Phrases : British and American, from the Sixteenth Century to the Present Day (1986) by Eric Partridge and Paul Beale, ISBN 041505916X, ISBN 9780415059169 .