In the Bible, specifically in the Book of Acts, Saul (who later became Paul) had an encounter with the resurrected Jesus on the road to Damascus. Here's what the Bible says about his reply:
* Jesus' question: "Saul, Saul, why do you persecute me?" (Acts 9:4 and similar in Acts 22:7, 26:14)
* Saul's reply: "Who are you, Lord?" (Acts 9:5 and similar in Acts 22:8)
After Saul asks who Jesus is, Jesus identifies himself and then gives Saul instructions.