“I'm beginning to think the only choice anyone has in life is between either a bad choice or a worse one.”

"A Prospect of Europe", 1997 speech at the University of New South Wales.

Letter to Claude Hochet (Summer 1800), quoted in J. Christopher Herold, Mistress to an Age: A Life of Madame de Staël (New York: Grove Press, 1958), p. 223
Herold comments: "Her decision was emphatically in favor of suffering, which after all was a pleasure compared to boredom." (p. 224)
The actual quotation is from a letter from Mme de Staël to Claude Hochet dated October 1, 1800 : «Il faut choisir dans la vie entre l’ennui et le tourment : je donne l’un et l’hiver l’autre» (Germaine de Staël, Correspondance générale. Tome IV. Première partie. Du directoire au Consulat. 1er décembre 1796-15 décembre 1800, texte établi et présenté par Béatrice W. Jasinski, Paris, Chez Jean-Jacques Pauvert, 1976, xii/337 p., p. 326).

Dissenting in Terminiello v. City of Chicago, 337 U.S. 1 (1949); this has sometimes been paraphrased as The Bill of Rights is not a suicide pact.
Judicial opinions
Context: The choice is not between order and liberty. It is between liberty with order and anarchy without either. There is danger that, if the Court does not temper its doctrinaire logic with a little practical wisdom, it will convert the constitutional Bill of Rights into a suicide pact.

Source: The Virtue of Selfishness: A New Concept of Egoism

1960s, Keep Moving From This Mountain (1965)
Context: We’ve got to move on to the point of seeing that on the international scale, war is obsolete -- that it must somehow be cast into unending limbo. But in a day when Sputniks and Explorers are dashing through outer space and guided ballistic missiles are carving highways of death through the stratosphere, no nation can win a war. It is no longer a choice between violence and nonviolence; it is either nonviolence or nonexistence. And the alternative to disarmament, the alternative to a greater suspension of nuclear tests, the alternative to strengthening the United Nations and thereby disarming the whole world may well be a civilization plunged into the abyss of annihilation. And so we must rise up and beat our swords into plowshares, and our spears into pruning hooks and nations must not rise up against nations, neither must they study war anymore.

Variant: Sometimes the only choice is between acceptance and madness.
Source: Clockwork Angel

Letter to E.L. Godkin (24 December 1895)
1890s

Source: Revolver

Source: Wasted: A Memoir of Anorexia and Bulimia