I've always enjoyed reflecting on the story of the man who was half (insert preferred stupid minority here) and half Italian.... who made himself an offer he couldn't understand. It seems to me this joke reflects on the moron in all of us.
Other favorites:
"Well, ma'am, I used to thing I was a real cowboy, but now I think I'm a lesbian!"
and
"Sheep LIE!"
and
"Adios, Muddahfuggah!"
What's really wonderful is the range and depth of humnaity's efforts to make itself laugh -- it really is a very deep art form.