You, Kentucky, a saxophone, and a toe. How'd it happen?

You wake up in a forest, not knowing where you are or how you got there. Groggy and bleeding profusely from the navel, you open your eyes and look around. Seeing that the grass around you is blue, you quickly deduce that you are in Kentucky (actually, the grass is green, you've just suffered severe ocular trauma, but, coincidentally, you are in Kentucky). You realize a few things: you are stark naked, holding a saxophone that is not yours, and laying next to a severed toe (also not yours). There is no one else around. After a brief moment of confusion, the facts of how this all happened slowly come back to you. So... tell us the story, how'd you get here?