“It is better to be unhappy and know the worst, than to be happy in a fool's paradise.”

"A Liberal Decalogue" http://www.panarchy.org/russell/decalogue.1951.html, from "The Best Answer to Fanaticism: Liberalism", New York Times Magazine (16/December/1951); later printed in The Autobiography of Bertrand Russell (1969), vol. 3: 1944-1967, pp. 71-2
1950s
Context: The Ten Commandments that, as a teacher, I should wish to promulgate, might be set forth as follows:
1. Do not feel absolutely certain of anything.
2. Do not think it worth while to proceed by concealing evidence, for the evidence is sure to come to light.
3. Never try to discourage thinking for you are sure to succeed.
4. When you meet with opposition, even if it should be from your husband or your children, endeavour to overcome it by argument and not by authority, for a victory dependent upon authority is unreal and illusory.
5. Have no respect for the authority of others, for there are always contrary authorities to be found.
6. Do not use power to suppress opinions you think pernicious, for if you do the opinions will suppress you.
7. Do not fear to be eccentric in opinion, for every opinion now accepted was once eccentric.
8. Find more pleasure in intelligent dissent that in passive agreement, for, if you value intelligence as you should, the former implies a deeper agreement than the latter.
9. Be scrupulously truthful, even if the truth is inconvenient, for it is more inconvenient when you try to conceal it.
10. Do not feel envious of the happiness of those who live in a fool's paradise, for only a fool will think that it is happiness.

Source: Gone with the Wind

As quoted in Think, Vol. 27 (1961), p. 32
Disputed

Source: Little Women

Variant: It's far better to be unhappy alone than unhappy with someone — so far.
Source: On Being Blonde (2007), p. 52

C’est une espèce de bonheur, de connaître jusqu’à quel point on doit être malheureux.
Maxim 8 of the Maximes supprimées.
Later Additions to the Maxims

To See the Dream, part 1 (1956)

Source: Ninety-Three