One of my favourite film quotes is also the only joke I can ever remember...
"This guy walks into a pub with a dog under his arm. He goes up to the bar, puts the dog on it and sits down. The Barman's thinking what the f**k is going on here when the dog turns round to him and says..."
... and that's because there's no punchline.
Then there's:
"Any questions?"
"Yeah Sarge, how do I get out of this chicken-**** outfit?"
"You gonna shoot me?"
"Yeah, I was kinda thinking about it."
"So what you got?"
"About half a clip. You?"
"I got one round."