I think Jeff Tweedy of Wilco has a song with a title something like that. I actually don't think this very often about myself personally, but I bet at least once every week, I read something so deaf to the actual nuances of Lutheran theology, that I ask myself, on behalf of Lutheranism, "Why are we so misunderstood?"
In an otherwise nuanced and brilliant book, Sarah Bakewell writes, "While Lutherans tend to stay aloof from worldly affairs, living according to their private conscience, Calvinists are supposed to engage with politics, and work to bring about God's will on earth" (80). Where does this stuff come from. It's wrong both in the understanding that Lutherans stay aloof from worldly affairs (who was less aloof than Luther? Which churches that you're aware of publish social statements and engage in public policy advocacy at the level of the ELCA?), and in terms of the supposed Lutheran emphasis on private conscience, because Lutheran, though discussing and emphasizing the conscience, don't work out of a notion of "private" conscience. Rather, conscience is bound, and bound specifically to the Word of God and the need of the neighbor.
I can't recommend Bakewell's book highly enough, it's really masterful. However, whenever the word "Lutheran" pops into the narrative, I notice how often it's misused or misunderstood. I wonder why. Maybe we just aren't communicating our important contributions to the global ecumene clearly and succinctly. Mea culpa.
So, how do Lutherans engage worldly affairs? Hopefully it would be obvious by our actions, but in case it isn't, the best way I can say this is: Lutherans engage worldly affairs by being totally in the world, in their daily work and vocations. A Lutheran tries to be the best musician, or co-worker, or artisan, or reporter, or whatever, that they can. So Lutherans are known for non-pietistic approaches to work, and suspicious of overly religious approaches in the work place that might mask lack of integrity. In fact, reading Bakewell, I get the sense that Montaigne would have made a fairly good Lutheran if given half a chance. :)