I heard a reference to this on my favourite Hollywood game show - "Hollywood Squares". Well worth a watch. Seriously!

The way it was told, a sports commentator used it towards the end of a very close-scoring game, which could have gone either way. The expression is believed to have emanated there. Refer to Keith Olbermann, who was answering the question (he is a US sportscaster, for the information of non-US members)

It is also used, I am told, at US election time, when apparently the last results to come are from Texas - the state is, for some reason, known as "The Fat Lady".