The line occurs after Will Ferrell's Ron Burgundy gets fired from his job as a news anchor, and becomes a destitute, bearded loser drinking from a milk carton on the street. It's a warm day, and as he drinks the milk, he exclaims, "It's so damn hot! Milk was a bad choice."
This particular line seemed to hold a special place in the hearts of most of the cast.
"There's always the classic ones, but I think that 'Don't act like you're not impressed' is one of my favorites," said Anchorman 2 star James Marsden, who plays Burgundy's news rival Jack Lime. "[Also] 'Milk was a bad choice.' 'Milk was a bad choice' was a great choice."