Some time ago I was swapping jokes with a co-worker when we discovered we had the same favorite. It's a lengthy joke, and for obvious reasons I won't go into it in length here. Suffice it to say that it involves a man with half an orange for a head relating the story of how he came to be this way.
After several minutes worth of details involving a magic lamp and a genie that grants three wishes, the punchline comes as the man reveals that his third wish was to have … half an orange for a head. I realize it doesn't sound the least bit funny in its abridged form, but trust me - the anti-climax gag can be a killer when done right.