The funniest will definately take a moments thought, but here's one while I think.

A few years ago, I played with a band called Burach. We were just finishing off a badly promoted, badly attended tour (this does happen to everyone sometime, right?) of England. Come the final night, we found ourselves in Washington, Tyne and Wear, walking onstage in front of an audience of 2 (that's t-w-o!). They seemed to be enjoying themselves, though, so we gave of our best, to be greeted with rapturous (if minimalist) applause from one of the two in particular. Come the break we thought, what the hell, let's get to know the audience personally, they seem nice.
Turned out our fan was almost completely deaf and, for no adequately explained reason, thought he'd come to see Fairport Convention, a band he'd clearly never seen before, even in photos.