Mae West was an American actress, singer, and playwright known for her wit and sensuality. The quote you mentioned, "Between two evils, I always pick the one I never tried before," is indeed attributed to Mae West. She was known for her clever and provocative lines in both her performances and personal life.
Note: The provided meaning of the answer is for the latest New York Times crossword puzzle clue: Who said "Between two evils, I always pick the one I never tried before". Explanations are generated by AI and may be inaccurate.