Harry Eyres writes in FT:

An oxymoron, the unexpected yoking together of contradictory words, is not a nonsense phrase, but carries a meaning beyond the bounds of obvious logic. Nowadays often relegated to the sphere of lame humour (“military intelligence”, “jumbo shrimp”) oxymoron, properly used, has from the earliest times been a distinguishing mark of poets. One of the first and greatest was Sappho, who described the pangs of love as bitter-sweet (or more literally, sweet-bitter), in an oxymoron that has never been bettered. It may even have been the original one.

The Roman poet Horace saw it as his task to bring the metres and music of Greek lyric poetry into the Latin language, a task he accomplished with awesome technical dexterity. He too was a master of oxymoron: he called wine “dulce periclum”, the sweet danger, and somehow that oxymoron also attaches itself to wine’s partners in Johann Strauss’s most hackneyed waltz, entitled Wein, Weib und Gesang (Wine, Women and Song). In one of his worldlywise, slightly cynical poems about love, Horace remembers being infatuated by low-born, tempestuous Myrtale, held fast by what he calls “sweet fetters”.