Ed Brayton has the story here. I know I/we have for years beat the dead horse; but the fake quotations, most infamously spread by David Barton live on.
Patrick Henry didn't say it. And history is more complicated. I know Henry wasn't always such a militant anti-Federalist, but even the most pro-Federalist types didn't speak of the United States as ONE "great nation." They tended to speak of the United States in a plural sense (as in the United States "are" as opposed to "is"). That notion smacks of post Lincolnian centralization.
But this is how Henry really felt when he opposed the ratification of the United States Constitution:
And here I would make this enquiry of those worthy characters who composed a part of the late Federal Convention. I am sure they were fully impressed with the necessity of forming a great consolidated Government, instead of a confederation. That this is a consolidated Government is demonstrably clear, and the danger of such a Government, is, to my mind, very striking. I have the highest veneration of those Gentlemen,--but, Sir, give me leave to demand, what right had they to say, We, the People. My political curiosity, exclusive of my anxious solicitude for the public welfare, leads me to ask who authorised them to speak the language of, We, the People, instead of We, the States? States are the characteristics, and the soul of a confederation. If the States be not the agents of this compact, it must be one great consolidated National Government of the people of all the States.