Did the Romans not breaking Jesus' legs fulfill a prophecy? I seem to remember that Jesus having already died and not needing his legs broken fulfilled an OT prophecy. 

Where was this prophecy recorded and what did it say?
Yes, you're absolutely right!  Jesus never broke any bones.  That's a fulfillment of the prophecy from Old Testament and it's written about in John.


  John 19:36 (NIV)
  These things happened so that the scripture would be fulfilled: “Not one of his bones will be broken,"


The prophecy that John refers to is found in Psalms 34:20:


  Psalms 34:19-20 (NIV)
  19 The righteous person may have many troubles,
    but the LORD delivers him from them all;
  20 he protects all his bones,
    not one of them will be broken.  


Also related to this is the regulations regarding the passover lamb:


  Exodus 12:46 (NIV)
  It must be eaten inside the house; take none of the meat outside the house. Do not break any of the bones.


Those were the regulations for the lamb that was slain for the passover feast.  There are many passages that relate Jesus to the passover lamb.  This lack of broken bones is one of these connections.  (This regulation can also be seen in Numbers 9:12.)