As noted in the other answer, these words are written by Shakespeare and appear in Henry V, Act IV, scene iii. As background, the English troops massed in France are about to fight the Battle of Agincourt. Westmoreland comes in wishing that the outnumbered English had more men with which to meet the enemy. He says,
Oh, that we now had here
But one ten thousand of those men in England
That do no work today.
Henry counters with a rousing and inspirational speech meant to stiffen the resolve of the men soon to go to battle. He tells Westmoreland that it is better that they have few troops, because if they are defeated fewer Englishman will die, and if they win, the honor will be all the greater for those who fought. He says that for years to come, the wounds the soldiers receive on this day, St. Crispin's day, will be remembered.
In the "We few, we happy few, we band of brothers," portion of this speech, Henry says that anyone fighting beside him is part of his "band of brothers" and from this day forth will be a gentleman. Those who didn't fight and didn't share in the glory of this day will forever regret that they missed out on being part of history.