I hate confusing newcomers about this, but just be prepared to get a lot of different answers. A lot of it comes from different traditions and depends on what sources people use.
The answers so far are correct with regards to the most widely studied part of the Theravada canon which is contained in the Nikayas. These are the "Suttas" you will come across.
But if you study abhidhamma or talk to people who studied a lot of it you will most likely get a definitive "no" to the answer of whether a self exists. Not denying the conventional self (I am typing. I went to the store. I bought a loaf of bread) but in terms of ultimate dhammas or ultimate reality, no, there is no underlying essense or anything that can actually be called a "self" in any of it. There is just the arising and passing of dhammas (phenomenah) trillions of times per second in any given moment, all of which are anatta.
So as far as whether the Buddha "Said there was a self or not" depends on if you think the Buddha taught Abhidhamma or not. Thanissaro Bhikkhu (one of my top three favorite teachers) does come from a tradition that does not put much stock in Abhidhamma.
There are even people who will argue that you can come to the same "no" conclusion based on the Suttas. That's fine, though I tend to agree with Thanissaro the perspective of the Suttas it is kind of considered to just be a pointless question. "Ontology" in general was considered a kind of useless topic with regards to liberation - right along with politics and fashion.
"Just now, lord, after the meal, on returning from our alms round, we gathered at the meeting hall and got engaged in many kinds of bestial topics of conversation: conversation about kings, robbers, & ministers of state; armies, alarms, & battles; food & drink; clothing, furniture, garlands, & scents; relatives; vehicles; villages, towns, cities, the countryside; women & heroes; the gossip of the street & the well; tales of the dead; tales of diversity, the creation of the world & of the sea; talk of whether things exist or not."
"It isn't right, monks, that sons of good families, on having gone forth out of faith from home to the homeless life, should get engaged in such topics of conversation, i.e., conversation about kings, robbers, & ministers of state... talk of whether things exist or not.
-M