"What's so strange about it? " This was essentially the point of the EPR argument in 1935, which says that it's silly to postulate all sorts of quantum weirdness when correlations could be explained simply by assuming that particles had definite properties. If I put each of a pair of socks in two boxes and move the boxes far apart, then it is no surprise that the socks match when the boxes are opened - it doesn't involve any weirdness or superluminal speeds.
The EPR argument was largely ignored, not so much it seems because people had any good counter-argument, but because people really, really like quantum weirdness. In the early 1960's John Bell took up the EPR argument again. What he found was that although the EPR argument worked for simple cases, like the socks, for slightly more complicated setups it ran into problems.
Two entangled particles are emitted by a central source, to be measured by Alice an Bob, who are some distance apart, and who each have a measuring device with a knob with three settings A, B and C and which gives a zero or a one as a result of the measurement.
When comparing there results for long runs of join measurements, Alice and Bob find that if the settings are the same then the results are always the same. If the settings differ by one position (so one has A and the other B, or one has B and the other C) then the results differ 1/7 of the time. A bit of thinking then leads to the result if one has setting A and the other setting C, then the results can differ at most 2/7 of the time.
The trouble is that this isn't what happens in reality. A quantum experiment can be set up such that the results differ half of the time. It is this result that requires quantum weirdness as an explanation