Torrey Whitman, president of the China Institute in New York and said to be a bit of an authority on Chinese proverbs, was asked about it, and here's what he is quoted as saying in response:

"...what is most noteworthy about the expression is that it is not Chinese. There is no such expression, "May you live in interesting times," in Chinese. It is a non-Chinese creation, most probably American, that has been around for at least 30 or 40 years. It appears in book prefaces, newspapers (frequently in the New York Times) and speeches, as an eye- or ear-catcher, although I have not found it in Bartlett's Quotations or other quotation sourcebooks. I speculate that whoever it was who first coined it attempted to give the expression a mystique, and so decided to attribute it to the Chinese."

http://www.everything2.com/index.pl?node=may%20you%20live%20in%20interesting%20times