Not so much a joke,as it's reported as true, if anecdotal - but it shows that Khruschev had a sense of humour...

Mr K was hosting a meeting of the soviet Politburo and explaining his views about his predecessor Stalin. In an informal moment one of those around the table chatting said "But Mr Chairman, you were actually part of Stalin's cabinet. If you thought him so bad, why did you not speak out?"
Khrushchev immediately banged on the table and roared "WHO SAID THAT?!!"

The room fell silent, and in a quiet voice Khrushchev said "Now you know why."