This phrase often carries a negative connotation - conveying a sense of bitterness or condescension - as in: "my so-called friend", "my so-called life", "Microsoft Windows, your so-called operating system", or "Scientology, your so-called religion", etc.
Usually, the emphasis falls directly on so-called, stressing the subjective, and possibly erroneous, irrational, or dissappointing nature of the topic of discussion.