“Make them laugh, make them cry, and back to laughter. What do people go to the theater for? An emotional exercise. And no preachment.”

As quoted in You Must Remember This (1975) by Walter Wagner, p. 175
As quoted in ...

Jan Moir (March 11, 2002) "'You're not scared of me, are you?': Christopher Walken has cornered the market in movie menace. But, as Jan Moir discovers, he is just as unsettling in real life", The Daily Telegraph, p. 18.

Credited to Shaw in the lead in to the mockumentary C.S.A.: The Confederate States of America (2004) and other recent works, but this or slight variants of it are also sometimes attributed to W. C. Fields, Charlie Chaplin, and Oscar Wilde. It might possibly be derived from Shaw's statement in John Bull's Other Island (1907): "My way of joking is to tell the truth. It's the funniest joke in the world."
Another possibility is that it is derived from Shaw's characteristic of Mark Twain: "He has to put things in such a way as to make people who would otherwise hang him believe he is joking."
Variants:
If you are going to tell people the truth, you'd better make them laugh. Otherwise, they'll kill you.
If you're going to tell people the truth, you'd better make them laugh. Otherwise, they'll kill you.
Disputed

Source: Pride and Prejudice (1813)

Source: Dodger

Advice given to an aspiring writer.
Attributed

Source: Drenai series, Quest for Lost Heroes, Ch. 4
Context: Never let anger, or outrage, or fear affect you. That is easy advice to give, but hard to follow. Men will bait you, they will laugh at you, they will jeer. But it is just noise, Kiall. They will hurt the people you love. They will do anything to make you angry or emotional. But the only way you can make them suffer is to win. And to do that you must remain cool.

Prologue
The Rehearsal (1671)