Well here's a comment, Michael - just a personal view.

The Jew's place in society since the diaspora has traditionally been that of an outsider, added to which is their own sense of the importance of their ethnicity. Given that humour is simultaneously a defence against the world and a statement of culture and cultural attitudes, you could say - for example - that Jewish humour is self-deprecating as a reinforcement of their character and culture. Jackie Mason's humour is typical of the style - making fun of both gentile and Jewish cultures - and reinforces a sense of community while mocking it.

The joke that I posted is, I think, an instance of that second to none - and it's why it's a favourite among Jewish people that I know.