According to The Quote Verifier (2006) by Ralph Keyes, Einstein never said any such thing. (According to p. 285 of the book's "source notes" Keyes checked New Statesman 16 April 1965, which is commonly cited as the source of this quote. Some other books claim it is from New Statesman 16 April 1955 and at least one has it as 1945, but a Google Books search http://books.google.com/advanced_book_search?num=10&q=einstein+watchmaker+%22new+statesman%22 with the date range restricted to 1900-1995 shows that all the earliest sources give it as 1965. This includes the earliest source located, The Penguin Dictionary of Modern Quotations from 1971, as can be verified by this search http://www.google.com/search?q=%22of+his+making+the+atom+bomb+possible.+quoted+in+new+statesman%2C+16+april+1965%22&btnG=Search+Books&tbm=bks&tbo=1.) Keyes notes that Einstein "did use similar words to make a very different point" when he wrote, in a 1954 letter to the editor at The Reporter magazine, "If I would be a young man again and had to decide how to make my living, I would not try to become a scientist or scholar or teacher. I would rather choose to be a plumber or a peddler in the hope to find that modest degree of independence still available under present circumstances."
Similarly, in Einstein and the Poet by William Hermanns, p. 86 http://books.google.com/books?id=QXCyjj6T5ZUC&lpg=PP1&pg=PA86#v=onepage&q&f=false, Einstein is quoted saying the following in a 1948 interview: "If I should be born again, I will become a cobbler and do my thinking in peace."
Misattributed
Variant: If only I had known, I should have become a watchmaker.
