Choose the less bad thing of a pair of bad things.
‘When compelled to chose one of two evils,’ wrote Socrates, ‘no one will chose the greater when he may choose the lesser.’ Charles H. Spurgeon, the great Baptist minister, took a stronger view: ‘Of two evils, choose neither.’
Current usage of the proverb is fairly light-heated.
I either had to walk the two miles to the station or ask old Joseph to give me a lift. As he’s the worst driver I’ve ever met, I chose the lesser of two evils and I walked.