LORELAI: You know what they say when people assume things.
EMILY: No, what do they say?
LORELAI: That – you shouldn’t.
Lorelai is referring to the phrase: “Never ASSUME, because when you ASSUME you make an ASS out of U and ME”. It became a popular catchphrase after being used in the episode, “My Strife in Court”, from the 1970s TV series, The Odd Couple. The writer on that episode, Jerry Belson, had heard a teacher say it many years before. Lorelai can’t bring herself to complete the saying to her already irritable mother.