Use the phrase "I must say" to introduce an opinion that you have some reason not to say, but you feel like you have to say it anyway. Reasons for using "I must say" can include:

• When something surprised you because it's different from what you expected to think.
• When you think other people might be offended by your opinion, but you have to say it because you feel quite strongly about it.

This phrase is similar in meaning to "I have to say":

I have to say — I was kind of disappointed.

"I must say" sounds a little more formal.