Does quoted material always need a comma before it? Not necessarily. When the quoted material is within a narrative frame – even if it’s the only thing in the narrative frame – and we’re being taken to the scene, as it were, a comma is generally used. But when the quoted material is being treated as an instance of an utterance of that phrase, and the verb is the main thing rather than being an entrance point to dialogue (in other words, when the quoted material is truly the complement of the verb rather than an act of locution introduced), a comma is not called for. Some comparisons:
These are the sort of people who say “Sure thing” and then don’t do anything. [no comma there – it’s not bringing in an actual dialogue situation]
The pepper jar broke. Mary sneezed. John said “Aw, nuts.” The cat fled. [what John said is being treated as another action like Mary’s sneeze]
The pepper jar broke. Mary sneezed. John said, “Aw, nuts.” The cat fled. [you’re expecting further dialogue here – at the very least, the instance is framed as one of a dialogue situation]
Don’t shout “No, don’t do it!” at an actor in a play. [don’t use a comma here – this is a general comment, not an entry into a specific situation]
John stood, horrified. He shouted, “No, don’t do it!” at the actor. [this is an entry to a dialogue situation, even if no further speech is said]
John is a fool. Last night at the play he shouted “No, don’t do it!” at an actor. You can’t take him anywhere. [this is not entering a narrative]
John is a fool. Last night at the play, he shouted, “No, don’t do it!” at an actor. I had to grab him and drag him back into his seat. An usher ran over and glared at him uselessly. [this is entering a narrative]
In the end, the General said “Nuts.” [there was something he said at the end, and we’re just establishing what it was]
In the end, the General said, “Nuts.” [it’s taking us there to the instance of utterance]
There was the time Mary came home and found Debbie Travis in her living room. She ran out of the house shrieking “It’s her! It’s her!” and the camera crew had to sprint after her. [this is a more anecdotal, broad-view description]
Mary walked into her living room and saw a large number of people she knew. In the midst of them was Debbie Travis. Mary’s eyes popped. She ran out of the house shrieking, “It’s her! It’s her!” as the camera crew sprinted after her. [involved narrative]
There’s a certain amount of wiggle room and, yes, some variation in opinion on this. It can be a slight but important variation in tone in some cases; in other cases, the wrong punctuation will make it jarring.
Sesquiotica 
I loved this post! Oddly enough, I was struggling with just this issue last week. And you’ve done such a great job of explaining it–way better than any of the style manuals I was looking at. Thanks!
Thanks for this, James. I’ve often gone back and forth about whether a comma is needed in similar situations. This should help, and in future it will definitely help me explain it to authors who inquire about why I deleted/inserted one!
“Well,” he said, “that was cerainly informative. I’ll never yell ‘Fire!’ in a crowded theatre, nor put a comma before ‘Fire!'”
It’s interesting that several authorities advocate not using a comma to introduce a quotation. For example, there’s Fowler (http://www.bartleby.com/116/406.html) and Trask (http://www.sussex.ac.uk/informatics/punctuation/quotes/marks).
Some other authorities mention the issue:
The Cambridge Guide to English Usage: According to older convention, a quotation is preceded by a comma. This is still quite common practice in novels, though a single space may serve the same purpose.
The Chicago Manual of Style Q&A: There is a lot of leeway for a writer in choosing punctuation before a quotation; it’s nearly impossible to make a rule. In general, a colon is more emphatic; a comma or no punctuation is less disruptive. (http://chicagomanualofstyle.org/qanda/data/faq/topics/Punctuation/faq0089.html)
It is almost embarrassing how exciting this particular FAQ was for me (my current work involves an astounding number of different instances of quotation marks+other punctuation).
Sorry — but although it’s obviously correct to omit a comma in the first example (in re “Sure thing”) and makes sense in the fourth (following
) — and these are both helpful examples to have provided — it’s absurd, imo, to distinguish between two identical sentences (as in the third and fourth examples and the and examples) and say that a comma is indicated in one instance and not the other. I think that’s an entirely invalid distinction, and the reasoning supporting those distinctions is, in my estimation, specious; in all of these instances, and in the last two () examples, a comma belongs. Period. [You may insert a smiley emoticon.]