Mine comes from a few places. One was a statement I randomly said when a roommate of mine came to bug me in the middle of a game I was playing, to which I replied:
"Can't talk... saving princess."
... and the other was from a discusson I had with a friend about whether or not World of Warcraft was a good game (which I won't get into here) and he asked me, "Well what would YOU rather be doing in an Online RPG?" To which I answered:
"I'd rather be... I don't know... saving the princess or something."
Then after another deep emotional conversation about romance and relationships with a female friend of mine, she called me "One of those knight in shining armor types, always out trying to save the princess."
Soo... once I acknowledged how ingrained the concept of "Princess Saving" was in my psyche, I just kind of mashed it all together.
I'd always been a Mario fan and "The Princess" (i.e. Toadstool, err Peach, whatever) has always been one of my favorite characters, so I have (cheaply) ripped off various incarnations of Mario as my avatar.
After that, I noticed how much "I'd rather be Saving the Princess" sounded so much like those license plate covers (I'd rather be fishing, golfing, etc.) I ordered a custom license plate cover that says "I'd rather be Saving the Princess." People love it.