"Jews don't say hip hip hurrah"
The phrase does have anti-Semitic roots. The rise of German nationalism in the 19th century was tainted with anti-Semitism.  In 1819 one anti-Semitic persecution that broke out was called the "Hep! Hep! Riots," where Jews were taunted with the cry of “Hep, Hep,” an acronym for the phrase  "Jerusalem is lost."  Rioting started with university students in Wurzburg, where Jewish shops were looted and several Jews killed. 400 Jews were expelled from the town.  Rioting and mob harassment of the Jews continued in Hamburg and Frankfurt, unrest spreading throughout the rest of Germany.  Hitler's storm troopers adopted this jeer. 

Regarding its source, Professor Robert Michael of the University of Massachusetts Dartmouth says "I have been looking for years but have not found any authoritative source for this phrase. Lots of arguments from German historians who feel it is just a call used by herders for goats to get moving." 

But according to Dagobert Runes in The War Against the Jew, "Hep! Hep!" was an anti-Semitic riot slogan shouted by the Crusaders, deriving from the first letters of the Latin phrase "Hierosylma Est Perdita (Jerusalem is destroyed)." Another source claims it was a common toast used at Roman feasts to celebrate Rome's defeat of Jerusalem in which one person would say "Hierosolyma Est Perdita — Jerusalem is destroyed," and the guests would shout "Hurrah!"  Interestingly, the word "hurrah" is similar to the word which King David predicts the "Children of Edom (Rome)" will shout as they destroy Jerusalem: "Remember, G-d, for the children of Edom the day of Jerusalem — for those who say ‘Arruh! Arruh! Destroy it to its very foundation!" (Psalms 137)