Wordorigins.org: Letter F describes the origin of free lunch (according to the Oxford English Dictionary):
There ain’t no such thing as a free lunch. Despite the claims of rabid science fiction fans, this bit of folk wisdom has been with us since the late 1940s. And the term free lunch is even older.The term free lunch first appeared in print on 23 November 1854, in Wide West published in San Francisco. It is a reference to the practice of saloons giving free meals to attract clientele. Of course the savings is illusory as the price of the drinks subsidizes the food.
The exact phrase, there ain’t no such thing as a free lunch, is also first used in the city by the bay in the 1 June 1949 edition of the San Francisco News (although this is claimed to be a reprint of a 1938 editorial so it may be even older, but the original has not been found).
The science fiction fans come into the picture in 1966 with the publication of Robert Heinlein’s novel The Moon is a Harsh Mistress. He did much to popularize the phrase, but as we have seen did not coin it. Some claim that he coined the acronym TANSTAAFL. But alas for those science fiction fans, even this is not true. TANSTAAFL is found as far back as October 1949, only a few months after the earliest appearance of the phrase.
(Hat tip to Mahalanobis via Marginal Revolution.)