Quote:

Originally heard it as a Baptist/Methodist joke, the context being I suppose the rivalry between those two denominations in the American south.



It works better if it's a Baptist/Methodist joke. You would expect to see Catholics in a liquor store. Baptists aren't supposed to be anywhere near a liquor store. Methodists can drink but are expected to be a bit circumspect about it.
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"Offer them what they secretly want and they of course immediately become panic-stricken."