My brother had an African Grey that used to yell "Shut up and go to work!" in my sister-in-law's voice. :) They not only say words, but mimic the voice they learn it from.
I had a budgie that would say words he shouldn't when we had company. The sound of new voices got him going. Those birds love short, one-syllable words with a hard consonant sound at the end. People would ask, "Did he just say what I think he said?" They weren't quite sure they were hearing right.