Tell

Sempre seguido por pronome pessoal. We tell someone something.

Ex: I’m a film star. She told me she was a film star.  

Expressões em que o tell é usado sem pronome pessoal: tell a lie; tell the truth; tell a joke; tell a story; tell the time etc..

Say

Nunca seguido por pronome pessoal. We say something.

 Ex:  She said she was a film star.   

Caso um pronome seja usado, o to deve ser colocado antes do objeto.

Ex: She said to me she was a film star.