Macrobius's book Saturnalia would be a start. He was one of the Roman empire's last Pagan writers, and wrote a series of dialogues that take place during Saturnalia. His characters discuss the origins of the holiday, among other things. Several chapters are devoted entirely to jokes and quips by the participants!

I can't find an English language version on the web, but it has been translated, and your local library can probably get a copy for you.