Your reaction to that last one is my favourite reaction, I admit.
Jokes you shouldn't laugh at are often the best ones. One of my favourite sounds is someone laughing at something I might say, then going, "ohhh..." and looking about slightly furtively, especially after having to think about it before they "get" it.
Especially fun for me are the blank stares from most Americans when you hit them with innuendo, non-sequitur, or irony. This sort of thing just doesn't play well here:
You'll find this sort of thing in store displays all the time here, and it just never occurs.
This is an actual book, the American edition of a bit of modern pulp-fiction from a serial light-mystery writer in New Zealand. I think the cover is hilariously funny and I'm sure the intended audience of the book doesn't see it:
Oddly, I find they often don't like puns, either. Even better is the group dynamic, the ones who do get it (Don't get me wrong; there is a cut of the population that does.) and the look of sheer panic on the faces of the majority who don't.
Mainstream American humour is very obvious and a bit "in your face", so they as a culture are just not quite attuned to it. In that environment I admit a somewhat vicious streak on my part; if you can't be asked to work it out, you don't deserve the prize. GRIN!