it happened to a friend of mine

The phrase that people use when saying a ridiculously embarrassing story about something that happened to to them. To save themselves from total humiliation they say "it happened to a friend of mine".

George: God, I am so embarrassed, I can't believe Stacy found out I was cheating with her.

Bill: Don't worry, at least you didn't cheat on her with what you thought was her sister but turned out to be her fat brother.

George: huh?

Bill: It happened to a friend of mine...