Why don’t you get out of that wet coat and into a dry martini?

Benchley’s line is a compact example of his urbane, Prohibition-and-post-Prohibition era cocktail wit: it treats discomfort (a “wet coat,” suggesting rain, travel, or social inconvenience) as something best solved not by practical measures but by a ritual of sophisticated escape. The joke hinges on a comic substitution—rather than changing into dry clothes, one changes “into” a drink—turning the martini into a kind of alternate environment or identity. It also gently satirizes a certain upper-middle-class social reflex: meeting life’s minor miseries with a well-mixed drink and a breezy one-liner, elevating indulgence into a form of style.