These two lines are the final lines of Shakespeare's play Romeo and Juliet. They are written in the form of an heroic couplet, two rhyming lines of iambic pentameter, and give a sense of closure to the play.
The speaker is the Prince of Verona. Throughout the play, he has been arguing that the feud between the Montague and Capulet families is senseless and harmful both to the city and to the families themselves. In a sense, the ending vindicates his position and marks the acceptance of it by both families and the end of the feud. Despite this sense of reconciliation, though, the occasion is tragic. The Prince and the parents have both come to the realization that the feud resulted in the premature death of two young people and are mourning their loss.
The lines are addressed to a large audience, consisting of the Montague and Capulet families, Friar Lawrence, a page, and three watchmen. A secondary audience, of course, is the people assembled in the theater to watch the play.
On a literal level, the lines simply mean that there is no story sadder than that the audience has just watched of Romeo and Juliet.
The Prince of Verona speaks this line at the very end of the play--Act 5, scene iii lines 309-310. It basically means that had these two families mended their differences, then Romeo and Juliet would not have felt the urge to love secretly and to go to such lengths to find happiness. They could have married and done much good to be the "glue" between the two feuding families and the peace that the Prince had wished for and threatened both the Capulets and Montagues with banishment in the hopes of having for his city.
This is just a concluding statement stating that the play was tragic in nature.
It should also be noted that Shakespeare is having a final dig at the masculinity of Romeo's character. Shakespeares statement 'Juliet and her Romeo' treats Romeo as a possession of Juliets. In Elizabethian society woman had few rights and were largely considered the property or possessions of men. In other words they were considered insuperior to men. Hence a remark which infers a male as a females possession can be considered derogatory and unmasculine when directed towards a man. So this statement can be considered a clever, snide remark made against Romeo's masculinity.