There was a rumor in the Soviet Union that The Beatles had secretly visited the U.S.S.R. and given a private concert for the children of top Communist party members. They believed the song "Back In The U.S.S.R." was written because of the concert. Actually, some fans still believe so.
"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.