What's the difference between your dad and grocery shopping?
He didn't come back with the milk.
Absent Father
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Explanation
Explain Bear
Listen here, kid, this joke plays on the stereotype of dads going out for milk and never coming back. It's implying that the listener's dad is like that stereotype and is GONE. The joke relies on the surprise of comparing a person to a mundane task, and the dark humor comes from the implication of abandonment. You probably shop at Whole Foods, don't you?