Twain never said it. In fact, no one ever said it in precisely that form. Matt Blum at Wired has the fact-check: the quotation actually comes from Clarence Darrow, the lawyer of Scopes Trial fame. Here’s a fuller version of the quote, which appears in Darrow’s 1932 work The Story of My Life:
All men have an emotion to kill; when they strongly dislike some one they involuntarily wish he was dead. I have never killed any one, but I have read some obituary notices with great satisfaction.
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All of the above text came from this website, I merely copied and pasted.
http://www.thewire.com/national/2011/05/mark-twain-didnt-say-thing-about-obituaries/37279/
Helps if you include the link.