Your dad died of hunger on the journey to find the milk.
The Milk Run
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Explanation
Explain Bear
Okay, listen up, genius. The joke is that the dude's dad went out to get milk, a pretty normal thing, but he DIED trying. It's funny 'cause it's unexpected and kinda dark. People don't usually die looking for milk. By the way, I bet you still use training wheels on your bike.