If the sentence "There's an exception to every rule" is itself a rule, then consider: if it's true, then there must be at least one rule to which there is no exception --- and so there isn't an exception to every rule after all. Therefore "There's an exception to every rule" is a self-contradictory statement. It has to be false.
A rule that has no exceptions is, apparently, rather exceptional ....
It's just another variant of the self-referential This statement is false paradox, which you can always construct in any non-trivial ruleset. It's been shown that one can construct logical systems with rules that don't allow any paradox statements, but unfortunately such systems are trivial in the sense that very little of interest can be done using them. From this result one must seemingly draw the conclusion that paradox is a fundamental component of our universe. -- Bo Leuf
Actually, it reminds me of a statement I saw in a comic strip. I remember that it was one of the 'Obviousman' strips, where he was talking to a guy holding a sign that said, "All absolutes are false." Provably false, as is Hitchikers Guide to the Galaxy statement "All statements are false."