"She turned around and said, 'By the way, Sally, where were you on Halloween 1998?'"
Here's why:
* Comma after "said": A comma is used to separate the speaker from the words spoken.
* Quotation marks: The words spoken are enclosed in quotation marks.
* Comma after "way": The phrase "By the way" is a parenthetical phrase and is set off by commas.
* Comma after "Sally": A comma is used to separate the person being addressed from the rest of the sentence.
Let me know if you have any other punctuation questions!