One of my groups had been booked to play some feminist arrangement (probably because of our female singer), and the headliners; a semi-pro, all-male noise/rock/prog/jazz/funk/psychedelic band had one of the best jokes ever:
Guitarist: Are there any feminists here?
Crowd: WOOOOOO lolol
Guitarist: Why do women menstruate? No? Nobody? *leans closer to mic* because they deserve it.
Then, they instantly lunged into a cavalcade of crazy improvisational noise which ended with them knocking over all the mic stands and crashing into each other, before ending the whole gig with complete silence and a stuttered "Thanks for coming"
Needless to say, I could not contain my laughter.
Also, some of my jazz trios original jokes usually consist of explaining the origin of our song titles.
example:
"Ok, this one is called "Baby Mice Wine and Lutefisk" and it's about a Korean drink which is made by shoving live baby mice into alcohol that is strong enough to pass for gasoline, this drink combined with a horrifying norwegian dish which a lot of you have probably eaten, form the name of the song. Lutefisk, is basically fish treated with an industrial grade solvent, scary. We found that this was the only combination of foods disgusting enough to describe the grotesque chordal harmony of this piece, enjoy.