English is a word-order language. When the verb (say) is transitive (takes a direct object [DO]: "something" in this sentence) and the indirect object [IO] is in a prepositional phrase ("to me" in this sentence), the grammatically correct word order is:
said something to me.
It's not standard English to say He said me something, but it is standard English to say He told me something. This suggests either that the verb in your sentence is actually a phrasal verb, (say to, but my Collins Cobuild Dictionary of Phrasal Verbs doesn't include it, nor does any Web page on phrasal verbs) or that say doesn't have the same usage rules as tell.
The verb give is like tell in that respect: Both
He gave something to me ~ He told something to me
He gave me something ~ He told me something
are grammatically correct. The pattern is S+V+DO+to+IO or S+V+IO+DO.
Once you add a complement to something, the relative clause that I'll never forget, the usage rule changes and "said to me something (that) I'll never forget" is grammatical and acceptable because of the desirability of placing the (reduced, i.e., minus the relative pronoun that) relative clause immediately after the noun phrase it modifies.
The sentence "He came and said to me something I'll never forget" seems to me a bit of a style problem. I'd change said to me to told me or just to said without the to me, unless context demanded said to me.
"He came and told me something I'll never forget"
"He came and said something I'll never forget"
Ultimately, with the relative clause, it's a style and usage question. Without the relative clause, it's a grammar question (deleting the preposition to is necessary).
I'd also probably insert over between came and and.