I'll use the original quote from They Live to explain.
Some guy walks into a bank and uses some sort of extra-sensory power to recognise some zombies who look like normal people. Everyone turns to look, because of his guns, and he drops the following line:
"I have come here to chew bubble gum and kick ass. And I'm all out of bubble gum." After that, he opens fire, knocking down all the zombies with no civilian deaths.
The joke is that since he doesn't have any bubble gum, he'll just have to go straight to the ass-kicking. Which he does. Duke Nukem also uses the line, and a lot of people attribute it to him, but it came from They Live first.