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.