I have to say it is something I say everytime I walk past a blue or even blueish (which means anything that is almost totally green!) bird inside Birds of Eden.  

So I started to look into the history of this saying and found that if you dig deep enough it comes from the Navaho Culture.  It was thought that finding the blue bird of happiness was a fleeting and at times difficult journey but one worth undertaking. I like that! 

I also found a play written and produced in London between 1908 and 1910 by Maurice Maeterlinck called "The Blue BIrd of Happiness"

I also found a song called The Blue Bird of Happiness, words by Edward Heyman and Harry Parr Davies and the music by SAndor Harmati. Take a look at some of the words:

The beggar man and his mighty king are only different in name, For they are treated just the same by fate.

Today a smile and tomorrow tears, We're never sure what's in store, So learn your lesson before it is too late.

(Refrain) So be like I, hold your head up high, Till you fight the bluebird of happines.  You will find greater peace of mind, knowhing there's a bluebird of happiness.  And when he sings to you, though you're deep in blue, You will see a ray of light creep throught.  And so remember this, life is no abyss, Somewhere there's a bluebird of happiness. 

Take a listen to The Blue Bird of Happiness song sang by Jan Peerce (this song was quite famous in the 1940's)