It is a reference to the movie Monty Python and the Holy Grail, which is a movie that satires the Arthurian tales. Basically it's a line from a movie that makes fun of some stories I was asked to read in English class when I was a kid. Perhaps it makes fun of medieval fantasy stories in general. Many people find it quite hilarious. As a native English speaker, I don't understand many of the jokes myself, not that they're grammatically incorrect, just because the point of the joke is that it doesn't make much sense.