You will frequently hear about this phrase during Statistics class or tutorials/guides on Statistical Inference. During data analysis, we often are able to infer certain patterns or trends between variables. However, we need to exercise due diligence and verify if there are any potential confounding variables/factors behind that correlation discovered.
Spurious Correlations, a site created by Tyler Vigen, shows various correlations between unrelated events, fully demonstrating that correlation does not imply causation. For example, the graph above showing US spending on science, space, and technology correlates with Suicides by hanging, strangulation and suffocation. You can view more of these correlations here. Enjoy!