I think (clause)

In spoken English, you can say "I think ___" before the idea that you're thinking.

I think I'm finished.

I think she's coming.

In formal writing or when you're speaking carefully, you should use "I think that ___" instead:

I think that we need to do a lot more testing before we release it to the public.

Sir, (sentence)

In the military, soldiers call higher-ranked male officers "Sir":

Yes, sir!

Sir, we've reached the target.

A higher-ranked female officer might be called "Ma'am", or "Sir", depending on the customs of the organization.

We have an issue.

When a problem occurs that affects a group of people, you can say "We have a problem."

Uh oh, we have a problem.

The phrase "We have an issue" means the same thing, but it's a little more restrained. In other words, an "issue" doesn't sound as bad as a "problem".

Hmm... we might have an issue.