Which play by Shakespeare has the following line, "There are more things in heaven and earth, Horatio, than are dreamt of in your philosophy."?

The phrase, "There are more things in heaven and Earth, Horatio, than are dreamt of in your philosophy." is used by the title character in the play Hamlet, by William Shakespeare. It is used by Hamlet to suggest that human knowledge is extremely limited. There are many things in the universe that man does not know or properly understand.

When the words above are said by Hamlet to Horatio in Act I, Scene V, they have a very keen and impregnable meaning when taken in a full context. Please note:

Ghost

[Beneath] Swear.

HAMLET

Well said, old mole! canst work i' the earth so fast?

A worthy pioneer! Once more remove, good friends.

HORATIO

O day and night, but this is wondrous strange!

HAMLET

And therefore as a stranger give it welcome.

There are more things in heaven and earth, Horatio,

Than are dreamt of in your philosophy. But come; .....

So grace and mercy at your most need help you, Swear.

Horatio has literally just seen a ghost. This is something one does not see every day.  The context gives a very different meaning to the quote. Rather than "You have to believe in stuff you can't see", it means "You have to believe what's right in front of your eyes, even if you didn't previously believe it." You are being asked not to be a   die hard skeptic.