Actually it was customary for when a loved one died to have a lock of their hair as a memory. Hair doesn't decompose very quickly, so it's kinda like having a piece of them with you whenever and wherever you are even if they are dead.
(Still creepy though)
I can confirm that "theflyingtrooper" is correct. Marie Antoinette NEVER said that phrase. It was some lie purported by a cartoonist, who mocked the Queen during the French Revolution.
(Still creepy though)