This one can be dated to an 1897 New York Sun editorial, “Is There a Santa Claus?.” in which the editor reassures a young letter-writer, “Yes Virginia, there is a Santa Claus.”
X seems to range from things that do literally exist to more metaphorical people, places, or things–like the original “Santa Claus.” Variants on X revealed by snowclone.pl include Uncle Sam, all-reality TV channel, anarchist communism, iconic Canadian cuisine, Axl Rose, underscore. Multi-word strings seem to be favored, perhaps because the more specific you get about X, the more Virginia will be unsure it actually exists.
“Virginia” is, of course, obligatory to this snowclone. Its fixation into a snowclone has probably been helped by the name Virginia becoming uncommon, so we can easily associate it with an earlier era. That is, if the original editorial had been addressed to Jenny, we might not be using this snowclone.
Yes Virginia, X, where X = “[mildly improbable statement is true]”, is also possible, as first noted by Arnold Zwicky. Variations on the second half of the snowclone include SEO is rocket science, they really are out to get you, there will be a Flash Player 9 for Linux.
I originally “discovered” this one here.