I don’t know if I explained “that” too well. So here is the best definition I can find about “that”:
Some claim “that” can only be used four times in a row correctly.
Here are some of the definitions of the word “that” in the dictionary:
(As a pronoun)
1. The one designated or implied. “What kind of soup is that?”
2. Used as the subject or object of a relative clause, esp. one defining or restricting the antecedent, sometimes replaceable by who, whom, or which: the horse that he bought.
(As a conjunction)
3. Used to introduce a subordinate clause. “I doubt that you are right.”
In addition to these definitions it is possible to use any word as a noun when referring to the word itself in quotation marks: The third “that” is used in this way, as it is in this sentence as well. So to analyze the sentence now:
I said that(1),”that(2) ‘that'(3) that(4) that(5) man wrote should have been underlined.”
(1)The first “that” is used according to the second definition, as a conjunction. It introduces the quote. Strictly speaking it isn’t necessary, but in English it is allowed. For example, either of the following two sentences are correct:
1. I said, “I don’t want to do any more riddles.”
2. I said that, “I don’t want to do any more riddles.”
(2) The second “that” follows the first pronoun definition: “The one designated or implied.”
(3) The one it designates is the third “that,” which has quotation marks since it references itself (it is used as a noun). This is easier to understand if you imagine another word, like “letter” in its place: I said that, “That letter that…” – except that it was not a letter written, but the word “that.”
(4) The fourth “that” is used according to the second definition. This is easier to understand if you replace it with “which”: I said that “that ‘that’ which that man wrote…”
(5) The fifth “that” refers to the man, again using the first definition: “The one designated or implied.”
Clearer? Perhaps not. However, does the following sentence make sense?
I said that, “that word which that man wrote should have been underlined.”
Now just replace “which” with “that,” and it still makes sense, right?
I said that, “that word that that man wrote should have been underlined.”
And finally, replace “word” with “that,” and it is clear that the speaker is referring to a specific incidence of the word “that,” in whatever the man wrote, and that the speaker thinks (for some reason) that the word should be underlined.
I said that, “that ‘that’ that that man wrote should have been underlined.”
And that is all that I have to say about that riddle and that “that” or any other “that” that comes along. Which “that?” Never mind that.