That's a Bad Miss is a phrase used whenever a member of the show makes a very bad mistake. The joke started on their Golden Tee Golf episode when Ben hit his golf ball straight into a tree and sent it backwards, which leads to Fraser saying the line.
The phrase originates from a series of sketches on the British comedy radio show That Mitchell and Webb Sound, where the snooker commentaters would start their commentary with "Oh, and that's a bad miss!" (It's funnier than it sounds, promise!)