Almost no one dances sober, unless he is insane.

[Nemo enim fere saltat sobrius, nisi forte insanit, neque in solitudine neque in convivio moderato atque honesto.]

Marcus Tullius Cicero (106-43 BC) Roman orator, statesman, philosopher

Pro Murena, ch. 6, sec. 13 (63 BC)
    (Source)

More completely, "For no man, one may almost say, ever dances when sober, unless perhaps he be a madman, nor in solitude, nor in a moderate and sober party." [tr. Yonge].

Often shortened to "Nemo saltat sobrius" ("Nobody dances sober"). Also attributed to H. P. Lovecraft.

In context, Cicero is disputing accusations that L. Murena was dancing because there are no reports that Murena was drinking and carousing beforehand.