The joke about immortality also appears in On Being Funny (1975)
In an interview in Rolling Stone magazine from April 9, 1987, Allen said "Someone once asked me if my dream was to live on in the hearts of people, and I said I would prefer to live on in my apartment."
Source: The Illustrated Woody Allen Reader (1993)
Works

Side Effects
Woody Allen
Don't Drink the Water
Woody AllenFamous Woody Allen Quotes
Woody Allen Quotes about life
Woody Allen Quotes about love
Also found http://books.google.com/books?id=kd41AQAAIAAJ&q=%22love+is+the+answer%22#search_anchor in "Quotations According to Woody Allen" http://books.google.com/books?id=kd41AQAAIAAJ&q=%22quotations+according%22#search_anchor from the New York Times, 1 December 1975.
“Harry: The most beautiful words in the English language aren't "I love you" but "it's benign."”
Deconstructing Harry (1997)
Woody Allen: Trending quotes
Side Effects (1980), My Apology
“Harry: (On being called a self-hating Jew) Hey, I may hate myself, but not because I'm Jewish.”
Deconstructing Harry (1997)
Woody Allen Quotes

“I think crime pays. The hours are good, you meet a lot of interesting people, you travel a lot.”
Take the Money and Run (1969).
“Is sex dirty? Only if it's done right.”
Everything You Always Wanted to Know About Sex* (*But Were Afraid to Ask) (1972)
“I can't listen to that much Wagner, ya know? I start to get the urge to conquer Poland.”
Manhattan Murder Mystery (1993)
Variant: If it turns out that there is a God, I don't think that he's evil. But the worst that you can say about him is that basically he's an underachiever.
“If Jesus came back and saw what was being done in his name, he'd never stop throwing up.”
Source: Hannah and Her Sisters
Interview in Der Spiegel, 2005-06-20 (as quoted by the New York Post) http://www.imdb.com/news/wenn/2005-06-29/
Context: As a filmmaker, I'm not interested in 9/11 [... ] it's too small, history overwhelms it. The history of the world is like: He kills me, I kill him, only with different cosmetics and different castings. So in 2001, some fanatics killed some Americans, and now some Americans are killing some Iraqis. And in my childhood, some Nazis killed Jews. And now, some Jewish people and some Palestinians are killing each other. Political questions, if you go back thousands of years, are ephemeral, not important. History is the same thing over and over again.
“I have no apprehension whatsoever. I've been through this so many times.”
September 2007 interview, promoting Cassandra's Dreams http://www.film.com/play/cassandrasdreamwoodyalleninterview/16265462.
Context: I have no apprehension whatsoever. I've been through this so many times. And I found that one way or the other, your life doesn't change at all. Which is sad, in a way. Because the people love your film... nothing great happens. And people hate your film... nothing terrible happens. Many years ago, I would... I would... a film of mine would open, and it would get great reviews, and I would go down and look at the movie theater. There'd be a line around the block. And when a film is reviled, you open a film and people say "Oh, it's the stupidest thing, it's the worst movie." You think: oh, nobody's going to ever speak to you again. But, it doesn't happen. Nobody cares. You know, they read it and they say "Oh, they hated your film." You care, at the time. But they don't. Nobody else cares. They're not interested. They've got their own lives, and their own problems, and their own shadows on their lungs, and their x-rays. And, you know, they've got their own stuff they're dealing with.... So, I'm just never nervous about it.
“Showing up is 80 percent of life.”
Attributed
Context: I have learned one thing. As Woody says, "Showing up is 80 percent of life." Sometimes it’s easier to hide home in bed. I’ve done both. - 1977 August 21, New York Times, Section 2: Arts and Leisure, He’s Woody Allen’s Not-So-Silent Partner by Susan Braudy, Page 11 (ProQuest Page 83), New York.
September 2007 interview, promoting Cassandra's Dreams http://www.film.com/play/cassandrasdreamwoodyalleninterview/16265462.
Context: I have no apprehension whatsoever. I've been through this so many times. And I found that one way or the other, your life doesn't change at all. Which is sad, in a way. Because the people love your film... nothing great happens. And people hate your film... nothing terrible happens. Many years ago, I would... I would... a film of mine would open, and it would get great reviews, and I would go down and look at the movie theater. There'd be a line around the block. And when a film is reviled, you open a film and people say "Oh, it's the stupidest thing, it's the worst movie." You think: oh, nobody's going to ever speak to you again. But, it doesn't happen. Nobody cares. You know, they read it and they say "Oh, they hated your film." You care, at the time. But they don't. Nobody else cares. They're not interested. They've got their own lives, and their own problems, and their own shadows on their lungs, and their x-rays. And, you know, they've got their own stuff they're dealing with.... So, I'm just never nervous about it.
“If only God would give me some clear sign! Like making a large deposit in my name in a Swiss bank.”
"Selections from the Allen Notebooks".
Without Feathers (1975)
“On bisexuality: It immediately doubles your chances for a date on Saturday night.”
The earliest source located is here http://books.google.com/books?id=kd41AQAAIAAJ&q=bisexuality#search_anchor, in the sidebar "Quotations According to Woody Allen" http://books.google.com/books?id=kd41AQAAIAAJ&q=%22quotations+according%22#search_anchor which appeared alongside the New York Times article "Everything You Wanted to Know About Woody Allen at 40" by Mel Gussow, 1 December 1975, page 33. Full text also available in Lakeland Ledger, 25 December 1975 http://news.google.com/newspapers?id=pUdNAAAAIBAJ&sjid=4foDAAAAIBAJ&pg=6578%2C6650273 on google news.
Unsourced variant: "Bisexuality immediately doubles your chances for a date on Saturday night."
Standup Comic (1999)
Source: Annie Hall: Screenplay
"Selections from the Allen Notebooks".
Without Feathers (1975)
"My Speech to the Graduates"
Side Effects (1980)
Variant: Mankind is facing a crossroad - one road leads to despair and utter hopelessness and the other to total extinction - I sincerely hope you graduates choose the right road
Source: Mere Anarchy
Also found in "Quotations According to Woody Allen" http://books.google.com/books?id=kd41AQAAIAAJ&q=%22quotations+according%22#search_anchor from the New York Times, 1 December 1975.
“Don't knock masturbation. It's sex with someone you love.”
Source: Standup Comic
“Some guy hit my car fender the other day, and I said unto him, "Be fruitful and multiply."”
But not in those words.
The Woody Allen Companion (1993) edited by StephenJ. Spignesi, Ch. 7.