It's all in the delivery.
The subtle yet direct way you were denied the punch line is what makes it funny.
Everything is funny as long as it is happening to somebody else. --Will Rogers
"I don't think anyone anticipated the breach of the levees." - George W. Bush
I don't think anybody could have predicted that these people would .. try to use an airplane as a missile, a hijacked airplane as a missile. - Condoleeza Rice
Barbara Bush: It's Good Enough for the Poor
To comfort the powerless and make the powerful uncomfortable.