Hard to narrow it down to a single quote. I've heard many good ones over the years. A few that I keep going back to, however are:
"Pain is the best instructor, but no one wants to go to his class." - Gen. Choi, Hong Hi
"When you know one thing through and through, then you know everything." - Grand Master Choi, Jung Hwa
"Licking the outside of a watermelon." - Grand Master Choi, Jung Hwa (This is a Korean proverb, not a saying specifically associated with martial arts, about only getting a cursory understanding of something instead of coming to a deep understanding of it, but GM Choi used it to refer to how people should not view their training in Taekwon-Do.)
Pax,
Chris