Google will not tell me where this phrase originates. Does Stack Exchange have the answer?
The phrase has been used before, but the meme seems to have taken off in May 2009, according Google Insights. The blue line is "what do we have here", and the others are co-incident "[[well] well] well what do we have here":
The map on the page shows the interest in the phrase is predominantly from the USA.
I expect May 2009 seems to be when this motivational poster spoof spread around the internet:
MotiFake ("The ORIGINAL Demotivational Poster Community") says it was created 28th August 2008.
"Well, well, well. What do we have here then?" An old phrase used on occasion by police officers in Great Britain upon the discovery of people engaging in criminal acts. Dates back to the Victorian era.