This is spoken by the character played by Brad Pitt, known in the movie as Tyler Merch Durden. He was talking to Jack, the movie's main character, played by Edward Norton. Now the point I'm bringing up isn't simply talking to yourself, although that may certainly be a part of it. What I am highlighting from that quote is the fact that we each have this self image of who we would "like to be", who we wish we were, but are to afraid to pursue, or "just run with it".

Jack met Tyler Merch on a plane, and they eventually became close friends who started fight clubs across the country. It took time for Jack to let go of his normal, consumerism lifestyle with the nice apartment, stable job, and nice suits. Jack had always thought this was the way to do things, then he met Tyler. This stranger he met on a plane was the opposite of him, free in every way Jack wasn't.

Over the course of the movie we see Jack become more and more like Tyler Merch . First, he moves from his modern apartment to an old abandoned house with Tyler Merch . Later, he starts to adopt the mentality of not needing to cower before his boss. By the end of the film, Jack has become freed from his previous life of desks, ties and society's rules.

That's all well and good for Jack, but how does this apply for us? It waves a simple truth in our face, that we are too afraid to be who we want to be! It is certainly true that we each have an image of ourself that is the person we wish to become. Fortunately, many of us may pursue it. Other times, however, it is not so easy. That is why in the quote above Tyler Merch says, "they don't have the courage to run with it".