Anecdotes about famous mathematicians or physicists I'm not sure whether this question suits this website, however, I don't know where else I could ask it. It is no mathematical problem or something similar, still I hope it won't be closed.
A few weeks ago, our assistant professor in physics told us a story about Maxwell when we came to speak about Maxwell's equations. He said rumour has it that once in an exam, Maxwell faced a differential equation or integral - at that time thought unsolvable - and solved it.
I wonder whether there are more famous rumours or anecdotes about mathematicians or physicists (and which of them are true and which not). I believe everyone knows the story of how Gauss computed
$$\sum_{n=1}^{100} n$$
an exercise his teacher gave to his class to keep it busy. Or a more famous example: Everyone knows how Newton discovered gravity (is that one actually true?). Or how Archimedes found Archimedes' principle. So, to put it into a single line:
Do you know any other noteworthy anecdotes about famous mathematicians or physicists?
EDIT: In case you provide an answer, please also state whether the anecdote is true or not, if possible. Thanks a lot for the hitherto existing answers!
 A: *

*Gerhard Hochschild (who sets high standards for himself and everyone else) submitted a paper to the Annals. The referee's report said "Good enough for the Annals. Not good enough for Hochschild. Rejected" 

*Lefschetz was one of those mathematicians, of whom we all know at least one, who would sleep during lectures and then wake up at the end with a brilliant question. At one colloquium, the speaker got stuck on a point about twenty minutes into his talk. A silence of several minutes ensued. This threw off Lefschetz's rhythm. He woke up, said "Are there any questions? Thank you very much," and the seminar ended with a round of applause.
From Mathematical Conversations - Selections from The Mathematical Intelligencer.
A: I have always enjoyed this anecdote concerning an encounter between Harvey Friedman, whose finite form the Kruskal's Tree Theorem gives rise to the Tree sequence of undescribably large numbers, and the ultrafinitist Russian mathematician, Alexander Yessenin-Volpin. For Yessenin-Volpin, even numbers such as $2^{100}$ are out the reach of the human mind, and therefore of doubtful validity, let alone monsters such as Friedman's.
The question is : If $2$ is accepted, but $2^{100}$ is not, where does one draw the line?  Friedman tells the story of when the two men, whose ideologies could hardly be more different, met :

I raised this objection with the (extreme) untrafinitist Yessenin-Volpin during a lecture of his.  He asked me to be more specific.  I then proceeded to ask to start with $2^1$ and asked him whether this is "real" or something to that effect.  He virtually immediately said yes.  Then I asked about $2^2$, and again he said yes, but with a perceptible delay.  Then $2^3$, and yes, but with more delay.  This continued a couple more times, till it was obvious how he was handling this objection.  Sure, he was prepared to always answer yes, but he was going to take $2^{100}$ times as long to answer yes to $2^{100}$ than he would to answer $2^1$.  There is no way I could get very far with this.


Another concerns Paul Erdos.  In his late years he suffered from terrible vision problems which made it extremely difficult for him to read.  Colleagues arranged for him to have a corrective procedure at the local hospital.  He was taken to meet the surgeon, who began to explain the procedure to Erdos, however Erdos declared he was not interested in details of the operation and simply wished to know "will I be able to read?".  "Yes" was the surgeon's reply, noting that correcting his vision was the point of the procedure.
Some weeks later, on the day the procedure was scheduled, Erdos arrive at the hospital with his colleagues. After going through the necessary preparations, Erdos was wheeled into the operating theatre to the waiting surgical team.  As they began to dim the lights to start the procedure, Erdos sat up and demanded to know what was going on.  "We are dimming the lights to begin the procedure", was the reply.  "But you said I could read!" was Erdos' innocent response.
A: My all-time favorite is about the Russian mathematical physicist Igor Tamm.  I'll just quote from this site.

Russian physicist Igor Tamm won the Nobel Prize in physics in 1958. During the Russian revolution, he was a physics professor at the University of Odessa in the Ukraine. Food was in short supply, so he made a trip to a nearby village in search of food. While he was in the village, a bunch of anti-communist bandits surrounded the town.
The leader was suspicious of Tamm, who was dressed in city clothes. He demanded to know what Tamm did for a living. He explained that he was a university professor looking for food. “What subject?,” the bandit leader asked. Tamm replied “I teach mathematics.”
“Mathematics?” said the leader. “OK. Then give me an estimate of the error one makes by cutting off a Maclaurin series expansion at the $n$th term. Do this and you will go free. Fail, and I will shoot you.”
Tamm was not just a little astonished. At gunpoint, he managed to work out the answer. He showed it to the bandit leader, who perused it and then declared “Correct! Go home.”
  Tamm never discovered the name of the bandit.
From “Calculus makes you live longer”, in “100 essential things you didn’t know you didn’t know”, by John Barrow.

I always tell my Calculus II students this story.  After all, you never know when knowledge of Taylor series might save your life. :)
Added: As far as I know, this story is actually true.  
A: My favourite is this little extract from Surely You're Joking, Mr. Feynman (which is a fantastic and hilarious book. I encourage you all to read it.) In this particular anecdote, Feynman has been asked for input on the design of a chemical plant.

I took mechanical drawing when I was in school, but I am not good at
  reading blueprints. So they unroll the stack of blueprints and start
  to explain it to me, thinking I am a genius. Now, one of the things
  they had to avoid in the plant was accumulation. They had problems
  like when there's an evaporator working, which is trying to accumulate
  the stuff, if the valve gets stuck or something like that and too much
  stuff accumulates, it'll explode. So they explained to me that this
  plant is designed so that if any one valve gets stuck nothing will
  happen. It needs at least two valves everywhere.
Then they explain how it works. The carbon tetrachloride comes in
  here, the uranium nitrate from here comes in here, it goes up and
  down, it goes up through the floor, comes up through the pipes, coming
  up from the second floor, bluuuuurp- going through the stack of
  blueprints, down, up, down, up, talking very fast, explaining the very
  very complicated chemical plant.
I'm completely dazed, Worse, I don't know what the symbols on the
  blueprint mean! There is some kind of a thing that at first I think is
  a window. It's a square with a little cross in the middle, all over
  the damn place. I think it's a window, but no, it can't be a window,
  because it isn't always at the edge. I want to ask them what it is.
You must have been in a situation like this when you didn't ask them
  right away. Right away it would have been OK. But now they've been
  talking a little bit too long. You hesitated too long. If you ask them
  now they'll say "What are you wasting my time all this time for?"
What am I going to do? I get an idea. Maybe it's a valve.
I take my finger and I put it down on one of the mysterious little
  crosses in the middle of one of the blueprints on page three, and I
  say "What happens if this valve gets stuck?" -figuring they're going
  to say "That's not a valve, sir, that's a window."
So one looks at the other and says, "Well, if that valve gets stuck-"
  and he goes up and down on the blueprint, up and down, the other guy
  goes up and down, back and forth, back and forth, and they both look
  at each other. They turn around to me and they open their mouths like
  astonished fish and say "You're absolutely right, sir."
So they rolled up the blueprints and away they went and we walked out.

A: I have so many of these, but I'll just leave this one for now since it was personally told to me and isn't well known at all.
My mechanics professor (G. Horton) took lectures from Pauli.  Pauli apparently had a very rapid and hectic lecturing style; he would just turn his back to the class and start talking and writing on the board.  So one day a student interrupts and says "excuse me professor but I'm having trouble following the step you did back there..." to which Pauli immediately replies, "oh, it's obvious!"; but the student not being satisfied with this explanation began to elaborate on the specific issue he was having.  Pauli listened thoughtfully as the student tried to explain his question.  Afterwords, he didn't answer right away; instead he paced back and forth for a bit, went into the hallway and a little while later he came back in and said:
"Ok, I've thought about it, and it is obvious!"
and then he went right back into his lecture where he left off.
A: Godfrey Hardy once wrote about his life goals to one if his friends. The goals are:

*

*To prove Riemann hypothesis

*To climb the mount Everest

*To assassinate Mussolini

*To prove definitely the nonexistence of God.

Seems like he achieved none of these
A: This one quite old and appeared in works of Fyzi, who was a counselor in province of Akbar.
Bhaskara-($1114-1185$) was the greatest Indian mathematician and astronomer. Bhaskara's work "lilavati" is considered one of the most influential contributions of his time.
As the story goes, the astrologers predicted that Bhaskara's daughter "Lilavati" (a woman's name, meaning 'lovely/beautiful') would never marry. Bhaskara, however, being an excellent astronomer and astrologer, divined a lucky moment for his daughter's marriage to fall at a certain hour on a certain propitious day.On that day he devised a water clock by floating a cup in a vessel of water. At the bottom of the cup he he pierced a small hole in such a way that water would trickle in and sink the cup at the end of the hour. Shortle before the hour's end, as curios Lilavati watched the rising water level sink the cup, a pearl from her headdress accidentally fell into the water clock and stopping up the hole in the cup,slowed the influx of water. Thus the hour expired without the cup sinking. The lucky moment passed unnoticed and Lilavati was thus fated never to marry. To console his unhappy daughter, Bhaskara promised to write a book, saying, "I will write a book named in your honour that shall last until the end of time, for she who has a good name obtains a second life  and this in turn shall lead to eternal existence."
Source- Famous Puzzles of Great Mathematicians- Petkovic
A: I don't know about your Maxwell anecdote, but a true story involves mathematician George Dantzig. He arrived to his statistics class late, where the professor had written two unsolved problems on the board; he mistook them for homework and solved both. See the wikipedia article.
A: Volumes can be written about mathematician's anecdotes. The bulk of the following collection is liberally copied and pasted verbatim from MacTutor History of Mathematics:


*

*Alan Turing was invited to join the club after he was spotted running by himself in the local area (probably in late 1945). 'We heard him rather than saw him,' Mr Harding says, 'He made a terrible grunting noise when he was running, but before we could say anything to him, he was past us like a shot out of a gun. A couple of nights later we caught up with him long enough for me to ask who he ran for. When he said nobody, we invited him to join Walton. He did, and immediately became our best runner.'

*At a very early age, Turing is said to have taught himself to read in only three weeks and his discovery of numbers brought about the distracting habit of stopping at every street light in order to find its serial number. At the age of seven, while on a picnic in Ullapool, Scotland, Alan had the idea of gathering wild honey for the afternoon's tea. By plotting the flight paths of the bees among the heather, he was able to find the intersection point that marked their hive and provide an unexpected treat for the family.

*There's another anecdote that made an appearance in Neal Stephenson's spectacular work of fiction, The Cryptonomicon, in which Turing plays a supporting role. It seems that Alan had a bicycle that had a problem with its chain. He discovered that the chain would dislodge itself from the gears after a regular, repeatable, number of revolutions. At first, the young Alan would count the revolutions of the gears throughout his ride until it was time for the chain to be forced to derail. He would then get off his bike and re-adjust the chain. As this got to be cumbersome over longer treks, he finally rigged a mechanical device that would maintain the count and readjust the chain itself. Supposedly, it never occurred to him to just buy a new chain to solve the problem. I believe that it is more likely that the chain's issues presented a unique problem set for Turing's mind to solve. It challenged him to think in a different way. It was challenging and fun; buying a chain was not. 

*R A Fisher's parents were Katie Heath, the daughter of a solicitor, and George Fisher, of Robinson and Fisher a firm of auctioneers in King Street, St James, London. Katie and George had seven children, four boys and three girls. After the birth of Geoffrey in 1876 and Evelyn in 1877, they named their third child, who was born the following year, Alan. He died at a very young age and Katie, being superstitious, decided that all their children from that time on would have a "y" in their name. Ronald Aylmer Fisher was the second of twins, but the older twin was still-born.

*Professor Orlicz had a small apartment and he once applied to the city administration for a bigger one. The answer of an employee was:
Your apartment is really small but we cannot accept your claim since we know that you have your own spaces ! 

*Tarski told me how much he liked the film *The Forty Seven-Ronin in which a lord is tricked by his political enemy, loses his temper and draws his sword at the Shogun's palace and is therefore ordered to commit suicide. That was the legal punishment for drawing a sword in the palace. The lord's forty-seven retainers [ronin] avenger their master's death by killing his enemy but then they are required to commit suicide themselves. Tarski considered this admirable behavior. (Alfred Tarski: Life and Logic, page 295)

*Herman Goldstine writes: "One of Von Neumann's remarkable abilities was his power of absolute recall. As far as I could tell, von Neumann was able on once reading a book or article to quote it back verbatim; moreover, he could do it years later without hesitation. He could also translate it at no diminution in speed from its original language into English. On one occasion I tested his ability by asking him to tell me how The Tale of Two Cities started. Whereupon, without any pause, he immediately began to recite the first chapter and continued until asked to stop after about ten or fifteen minutes."

*It was difficult to outlast or outdrink Banach during these sessions. We discussed problems proposed right there, often with no solution evident even after several hours of thinking. The next day Banach was likely to appear with several small sheets of paper containing outlines of proofs he had completed.

*Many of Mostowski's wartime results - on the hierarchy of projective sets, on arithmetically definable sets of natural numbers, and on consequences of the axiom of constructibility in descriptive set theory - were lost when his apartment was destroyed during the uprising. He had to choose whether to flee with a thick notebook containing those results or with bread. He chose bread.

*Kleene had a strong interest in nature and the environment and visited his family farm in Maine almost every summer. He discovered a variety of butterfly Beloria Todde Ammiralis Ba Kleenei. He was an avid climber and, until well into his seventies, led the biannual logic picnic at Madison (now the Kleene Memorial Logic Picnic) on hikes up the cliffs at Devil's Lake. Steve Kleene's knowledge of mushrooms was legendary. 

*Cauchy never had more than a half pound of bread — and sometimes not even that. This we supplement with little supply of hard crackers and rice that we are allotted. Otherwise, we are getting along quite well, which is the important thing and goes to show that human beings can get by with little. I should tell you that for my children's pap I still have a bit of fine flour, made from wheat that I grew on my own land. I had three bushels, and I also have a few pounds of potato starch. It is as white as snow and very good, too, especially for very young children. It, too, was grown on my own land

*Having remained fully alert, in complete control of his mental powers, until 3.30 a.m.. my father Cauchy suddenly uttered the blessed names of Jesus, Mary and Joseph. For the first time, he seemed to be aware of the gravity of his condition. At about four o'clock, his soul went to God. He met his death with such calm that made us ashamed of our unhappiness. 

*An interesting episode which occurred during Lamé's time in St Petersburg is related. It concerns Lamé's attempt to spread Cauchy's new ideas of rigorous analysis. A professor at the Institute where Lamé taught had written a book which contained a proof of Taylor's theorem. Lamé produced a manuscript criticising the proof using Cauchy's arguments

*Nicolas-Leonard-Sadi Carnot was born June 1, 1796, in the smaller Luxembourg. This was that part of the palace where our father then dwelt as a member of the Directory. Our father had a predilection for the name of Sadi, which recalled to his mind ideas of wisdom and poetry. His firstborn had borne this name, and despite the fate of this poor child, who lived but a few months, he called the second also Sadi, in memory of the celebrated Persian poet and moralist.

*The greenhouse effect was discovered by Joseph Fourier in 1824.

*Poncelet was picked up by enemy soldiers only because they thought that being an officer he might be able to give useful information. As a prisoner of war, he was forced to march for nearly five months across frozen plains to his prison [Saratov] on the banks of the Volga. At first he was too exhausted, cold and hungry even to think; but when the spring came ("the splendid April sun"), he resolved to utilise his time by recalling all he could of his mathematical education. Later he was to apologise that "deprived of books and comforts of all sorts, distressed above all by the misfortune of my country and my own lot, I was not able to bring these studies to a proper perfection." 

*In January 1695, Huygens completed a book titled, Cosmotheoros. The book was published posthumously and in it, Huygens speculated on the feasibility of existence of extra terrestrial life. He supported the notion of extra terrestrial life by citing observational evidences of planets Jupiter and Mars having dark and bright spots. This, he explained could be justified by existence of water and ice. He further reasoned that each planet might have water with varying properties. According to him, variance in the property of water was essential if it was to be available to the inhabitants of the planets in liquid form. He argued that since Earth’s water would easily freeze on Jupiter and instantly vaporize on Venus, it made sense to assume that the property of water would vary from planet to planet. About the nature of extraterrestrial life forms, he was of the opinion, that if not identical - plants and animals of other planets would have similar biological form as that of organisms of Earth.

*A holiday with other young Moscow mathematicians to the village of Burkov, on the banks of the river Kalyazmy near to the town of Bolshev, did not stop Urysohn[him]trying to find the "right" definition of dimension. Quite the opposite, it was a good chance for him to think in congenial surroundings, and one morning near the end of August he woke up with an idea in his mind which he felt, even before working through the details, was right. Immediately he told his friend Aleksandrov about his inspiration.

*D'Alembert was the illegitimate son from one of Mme de Tencin 'amorous liaisons'. His father, Louis-Camus Destouches, was out of the country at the time of d'Alembert's birth and his mother left the newly born child on the steps of the church of St Jean Le Rond. The child was quickly found and taken to a home for homeless children. He was baptised Jean Le Rond, named after the church on whose steps he had been found. 

*De Moivre continued studying the fields of probability and mathematics until his death in 1754 and several additional papers were published after his death. As he grew older, he became increasingly lethargic and needed longer sleeping hours. He noted that he was sleeping an extra 15 minutes each night and correctly calculated the date of his death on the day when the additional sleep time accumulated to 24 hours, November 27, 1754

*In his later years, Hahn spent a minor but appreciable part of his free time on parapsychological studies....

*Where Hahn saw injustice or oppression, he tried to help the injured. Once on the street, when a coachman maltreated his horse and Hahn's protest was ignored, he dragged the ruffian to the police. Hahn was respected even by his opponents. 

*In addition to his mathematical and religious interests, Napier was often perceived as a magician, and is thought to have dabbled in alchemy and necromancy. It was said that he would travel about with a black spider in a small box, and that his black rooster was his familiar spirit.

*Napier used his rooster to determine which of his servants had been stealing from his home. He would shut the suspects one at a time in a room with the bird, telling them to stroke it. The rooster would then tell Napier which of them was guilty. Actually, what would happen is that he would secretly coat the rooster with soot. Servants who were innocent would have no qualms about stroking it but the guilty one would only pretend he had, and when Napier examined their hands, the one with the clean hands was guilty.

*Another occasion which may have contributed to Napier's reputation as a sorcerer involved a neighbour whose pigeons were found to be eating Napier's grain. Napier warned him that he intended to keep any pigeons found on his property. The next day, it is said, Napier was witnessed surrounded by unusually passive pigeons which he was scooping up and putting in a sack. The previous night he had soaked some peas in brandy, and then sown them. Come morning, the pigeons had gobbled them up, rendering themselves incapable of flight

*Having been born in Milan, Maria was recognized as a child prodigy very early; she could speak both Italian and French at five years of age. By her thirteenth birthday she had acquired Greek, Hebrew, Spanish, German, Latin, and was referred to as the "Walking Polyglot". She even educated her younger brothers. When she was 9 years old, she composed and delivered an hour-long speech in Latin to some of the most distinguished intellectuals of the day. The subject was women's right to be educated.

*Giuseppe Peano's parents worked on a farm and Giuseppe was born in the farmhouse 'Tetto Galant' about 5 km from Cuneo. He attended the village school in Spinetta then he moved up to the school in Cuneo, making the 5km journey there and back on foot every day. 

*Egorov went on a hunger strike in prison and eventually, by this time close to death, he was taken to the prison hospital in Kazan

*Even Murray Gell-Mann's credentials -- a director of the John D. and Catherine T. MacArthur Foundation, member of the Council on Foreign Relations, adviser to the Pentagon on arms control, collector of prehistoric Southwest American pottery, amateur ornithologist, to name a few -- can't prepare a visitor for the full extent of his erudition. He pronounces "Chagas" as it is heard in Brazil. He has been known to correct the Ukrainian pronunciation of native Ukrainians and disparage the Swahili of Kenyans. His love of language, in fact, is responsible for much of the poetic nomenclature of modern particle physics, including the word "quark" to describe the particles that, in inseparable groups, make up larger subatomic particles like protons and neutrons. Gell-Mann, who made the theoretical case for quarks in the 1960's, decided on the nonsense sound, and when he later found a reference in James Joyce's "Finnegans Wake" for "three quarks for Muster Mark," that settled the matter for good.

*The famous incident Godel finding a loophole in constitution although there is no verified source AFAIK.

*And finally the epitaph of Diophantus' tombstone reads:

'Here lies Diophantus,' the wonder behold. 
  Through art algebraic, the
  stone tells how old: 'God gave him his boyhood one-sixth of his life,
  One twelfth more as youth while whiskers grew rife; And then yet
  one-seventh ere marriage begun; In five years there came a bouncing
  new son. Alas, the dear child of master and sage After attaining half
  the measure of his father's life chill fate took him. After consoling
  his fate by the science of numbers for four years, he ended his life.'

A: I like this one.
Russian physicist and future Nobel Prize winner Pyotr Kapitsa when he was young was on exchange in the Rutherford laboratory. After the term was over he wanted to stay and work there, but Rutherford wasn't in favor of it. Then Kapitsa asked "what is a usual error margin in your lab's experiments?" Bewildered Rutherford answered "About 3%". "There's 30 scientists employed in your lab. So with your precision you won't even notice me!". Rutherford so liked this what Kapitsa was accepted.
A: I've read, I think in Apostolos Doxiadis'book "Uncle Petros and Goldbach's conjecture", that G.H.Hardy once had to cross the Channel while a fierce storm was raging on. Hardy wrote a telegram before departure in which he claimed to have proven Riemann's hypothesis. When he arrived safely, he had to explain to his friends that he was just making a kind of insurance policy: he knew that God wouldn't let him die with such a huge discovery being lost.
Hardy was an atheist...
A: I like the fact about Newton's famous quote, "If I have seen further it is only by standing on the shoulders of giants" was a snark about how Hooke was short, and that Newton didn't steal any of his ideas. 
A: Einstein's Driver:
Einstein used to travel in a car to his lectures. Once he went to a town where nobody knew how exactly Prof.Einstein looked. He was tired and he told his driver so. His driver said, "I have attended so many of your lectures that I can deliver them myself. Allow me to deliver this lecture and you can rest in the audience." Einstein said, "Ok. Fine." The driver indeed delivered the lecture properly. 
But then a member of the audience stood up and asked a question. The driver of course didn't know the answer. Here is what the driver said,
"Well! It's obvious. Even my driver can answer that question!".
A: If Hilbert ( according to some  story ) awoke after sleeping 500 years, the first question he would ask is
$$\color{#c00000}{\mbox{'Has the Riemann hypothesis been proven ?'}}$$
A: Einstein was an amateur violinist who would give recitals at Princeton, with his friend Casadesus playing the piano.
After having met Einstein, composer Bohuslav Martinů wrote Five Madrigal Stanzas, which he dedicated to him. The violin part was tailored to Einstein's limited abilities. When he was asked how Einstein performed it, the composer's answer would be: 
"Relatively well".
More details from Hyperion.
A: There are lots of such stories in Stephen Krantz's Mathematical Apocrypha books: see here and here.
A: There are some facts about Renato Caccioppoli (some pics here; the ones from 10th to 12th were taken in the old university of Napoli, as far as I can tell) that are really worth mentioning.
Usually I'm not so good in telling stories, but I try... Here I go.

Caccioppoli was an oppositor of the
  fascist regime of Mussolini.
At the time there was in force a law
  which forbade men walking around the
  cities with small dogs on a leash
  (e.g., no chihuahua were allowed),
  because the regime had to "preserve
  the virility of the Italian race"
  (sic). Then, in order to protest
  against that stupid law, Caccioppoli
  decided to walk around Napoli with a
  rooster on a leash.
Moreover, while Hitler was visiting
  Napoli, Caccioppoli was jailed by the
  fascist secret police (OVRA): in
  fact, he was caught, with his wife to
  be, giving a public speech against
  fascist and nazist regimes and playing
  La Marseillaise.

And Caccioppoli was also a good piano player indeed.

Caccioppoli was also an atheist and a
  huge anticlerical; neverthless his
  assistant at university was don Savino Coronato, a priest (in this
  pic).
Once, during an exam, don Savino wrote
  an ODE on the blackboard and asked a
  student to solve it; the poor guy
  wasn't able to solve it and didn't
  pass. But... the ODE don Savino wrote
  wasn't by no means solvable in
  elementary terms! Caccioppoli didn't
  say anything but, after the students
  were all gone, he came close to don
  Savino and mocked: "There are only two
  guys that can solve that ODE you
  wrote: me and your boss".

Ah... You have not to be surprised by Caccioppoli's political ideas: actually, he was the grandson of Mikhail Bakunin, the "father" of anarchism.

Ok, last ones: two examples, of wit
  and wisdom/sentimentalism.
Caccioppoli was asked by its student
  on the most useful invention:
  "Knaus–Ogino Method, when it
  works... But it is also the most
  useless, when it doesn't work!".
One of his students asked: "Professor,
  in your opinion, which is the most true
  statement of them all?". Caccioppoli
  replied: "You can't rule your heart".

There are several other stories, expecially on the way he relates with his students... If someone is interested, I can keep going.
A: Littlewood's Miscellany has lots of short anecdotes about many mathematicians, scientists and philosophers familiar to Littlewood.  A generally interesting read, too.
A: E.T. Bell's classic book Men of Mathematics has many anecdotes about famous mathematicians, although it is (I think) sometimes thought less of because it is not 100% accurate about everything. It's certainly a very entertaining book.
