It mostly gets attributed to John Bradford....
"But for the grace of God there goes John Bradford."
~John Bradford (1510-1555) English reformer, seeing criminals taken to execution.
He was burned at the stake at Smithfield, a Protestant martyr.
(Quoted in Dictionary of National Biography according to Oxford Dictionary of Quotations 1953)
http://www.weeks-g.dircon.co.uk/these_y ... t_on_a.htm
The quiz on this webpage attributes it thusly, but I've never been able to verify it:
Q. Who is credited with having exclaimed, "There, but for the grace of God go I"?
A. St. Philip Neri
http://www.envoymagazine.com/backissues ... ition.html