“The world of finance is a mysterious world in which, incredible as the fact may appear, evaporation precedes liquidation.”

The Bridge of San Luis Rey (1927)

Source: The Picture of Dorian Gray

Amusing Ourselves to Death: Public Discourse in the Age of Show Business (1985)
Context: The world in which we live is very nearly incomprehensible to most of us. There is almost no fact... that will surprise us for very long, since we have no comprehensive and consistent picture of the world which would make the fact appear as an unacceptable contradiction.... in a world without spiritual or intellectual order, nothing is unbelievable; nothing is predictable, and therefore, nothing comes as a particular surprise.... The medieval world was... not without a sense of order. Ordinary men and women... had no doubt that there was such a design, and their priests were well able, by deduction from a handful of principles, to make it, if not rational, at least coherent.... The situation we are presently in is much different.... sadder and more confusing and certainly more mysterious.... There is no consistent, integrated conception of the world which serves as the foundation on which our edifice of belief rests. And therefore... we are more naive than those of the Middle Ages, and more frightened, for we can be made to believe almost anything.

From the article "Physics and Reality" (March 1936), reprinted in Out of My Later Years (1956). The quotation marks may just indicate that he wants to present this as a new aphorism, but it could possibly indicate that he is paraphrasing or quoting someone else — perhaps Immanuel Kant, since in the next sentence he says "It is one of the great realizations of Immanuel Kant that the setting up of a real external world would be senseless without this comprehensibility."
Other variants:
The eternally incomprehensible thing about the world is its comprehensibility.
In the endnotes to Einstein: His Life and Universe by Walter Isaacson, note 46 on p. 628 http://books.google.com/books?id=cdxWNE7NY6QC&lpg=PP1&pg=PA628#v=onepage&q&f=false says that "Gerald Holton says that this is more properly translated" as the variant above, citing Holton's essay "What Precisely is Thinking?" on p. 161 of Einstein: A Centenary Volume edited by Anthony Philip French.
The most incomprehensible thing about the world is that it is comprehensible.
This version was given in Einstein: A Biography (1954) by Antonina Vallentin, p. 24, and widely quoted afterwards. Vallentin cites "Physics and Reality" in Journal of the Franklin Institute (March 1936), and is possibly giving a variant translation as with Holton.
The most incomprehensible thing about the world is that it is at all comprehensible.
As quoted in Speaking of Science (2000) by Michael Fripp
The eternal mystery of the world is its comprehensibility … The fact that it is comprehensible is a miracle.
As quoted in Einstein: His Life and Universe by Walter Isaacson, p. 462 http://books.google.com/books?id=cdxWNE7NY6QC&lpg=PP1&pg=PA462#v=onepage&q&f=false. In the original essay "The fact that it is comprehensible is a miracle" appears at the end of the paragraph that follows the paragraph in which "The eternal mystery of the world is its comprehensibility" appears.
1930s

Source: Evolution of the Brain: Creation of the Self (1989), p. 241
Context: I maintain that the human mystery is incredibly demeaned by scientific reductionism, with its claim in promissory materialism to account eventually for all of the spiritual world in terms of patterns of neuronal activity. This belief must be classed as a superstition … we have to recognize that we are spiritual beings with souls existing in a spiritual world as well as material beings with bodies and brains existing in a material world.

Source: Dance Dance Dance

Source: The Spiritual Life (1947), p. 304

Speech at the ninth World Islamic Economic Forum in 2013 - "World Islamic Economic Forum: Prime Minister's speech" Gov.uk (29 October 2013) https://www.gov.uk/government/speeches/world-islamic-economic-forum-prime-ministers-speech
2010s, 2013