"Cigarettes And Chocolate Milk" describes a time in Rufus Wainwright's life when he found himself hungover and pounding chocolate milk to feel better. It didn't work, so he smoked a cigarette, which is when he realized his addictive personality could be a problem.
Who writes a song about a name they found in a phone book? That's just one of the everyday things these guys find to sing about. Anything in their field of vision or general scope of knowledge is fair game. If you cross paths with them, so are you.