"If you have sex before you are married, your penis will fall off and you will die..." ... is not what my parents told me, but it's what I will tell my children (regardless of gender), to see if they understand if I'm joking. If they believe me, then I judge them stupid, and ban them from sex until they have watched all of the QI episodes ever made (plus, this means I get to buy all of the QI episodes ever made, which is an added bonus for me if I haven't got them by then).
But my parents never told me about it. The school did, and I have to say the videos were hilarious.