The joke plays well alongside the images on the screen ...

From Watchmen:

Rorschach: I heard a joke once: Man goes to doctor. Says he's depressed. Says life is harsh and cruel. Says he feels all alone in a threatening world. Doctor says, "Treatment is simple. The great clown Pagliacci is in town tonight. Go see him. That should pick you up." Man bursts into tears. Says, "But doctor... I am Pagliacci." Good joke. Everybody laugh. Roll on snare drum. Curtains.

http://www.youtube.com/watch?v=ael2ojGGUok

Just in case: There is another one in Good Will Hunting told by Minnie Driver. In Roman Holiday Gregory Peck does a physical joke which is then directly referenced by Marisa Tomei and Robert Downey Jr. in Only You. Uma eventually tells one in Pulp Fiction and a year after that Tarantino told one in Desperado.

The gold standard here is Chinatown:

So there's this guy Walsh, do you understand? He's tired of screwin' his wife... So his friend says to him, "Hey, why don't you do it like the Chinese do?" So he says, "How do the Chinese do it?" And the guy says, "Well, the Chinese, first they screw a little bit, then they stop, then they go and read a little Confucius, come back, screw a little bit more, then they stop again, go and they screw a little bit... then they go back and they screw a little bit more and then they go out and they contemplate the moon or something like that. Makes it more exciting." So now, the guy goes home and he starts screwin' his own wife, see. So he screws her for a little bit and then he stops, and he goes out of the room and reads Life Magazine. Then he goes back in, he starts screwin' again. He says, "Excuse me for a minute, honey." He goes out and he smokes a cigarette. Now his wife is gettin' sore as hell. He comes back in the room, he starts screwin' again. He gets up to start to leave again to go look at the moon. She looks at him and says, "Hey, whats the matter with ya. You're screwin' just like a Chinaman!"

http://movieclips.com/TCYW-chinatown-movie-screwing-like-a-chinaman/

This is from The office. KGB joke.

http://www.youtube.com/watch?v=ZsVGh4wRXEc&feature=related

Training Day (2001)

Roger: Here's a joke, boy. One day this man walks out of his house to go to work. He sees this snail on his porch. So he picks it up and chucks it over his roof, into the back yard. Snail bounces off a rock, cracks its shell all to shit, and lands in the grass. Snail lies there dying. But it doesn't die. It eats some grass. Slowly heals. Grows a new shell. And after a while it can crawl again. One day the snail up and heads back to the front of the house. Finally, after a year, the little guy crawls back on the porch. Right then, the man walks out to go to work and sees this snail again. So he says to it, 'What the fuck's your problem?'

http://www.youtube.com/watch?v=fJN7qv4E_mI

is it too late to chip in a quip?

From Desperado (1995)
http://www.youtube.com/watch?v=pseGtp0z0F0

Pick-up Guy: This reminds me of a joke. This guy comes into a bar, walks up to the bartender. Says, "Bartender, I got me a bet for you. I'm gonna bet you $300 that I can piss into that glass over there and not spill a single, solitary drop." The bartender looks. I mean, we're talking, like, this glass is like a good ten feet away. He says, "Now wait, let me get this strait. You're tryin' to tell me you'll bet me $300 that you can piss, standing over here, way over there into that glass, and not spill a single drop?" Customer looks up and says, "That's right." Bartender says, "Young man, you got a bet." The guy goes, "Okay, here we go. Here we go." Pulls out his thing. He's lookin' at the glass, man. He's thinkin' about the glass. He's thinkin' about the glass. Glass. He's thinkin' about the glass, glass. Thinkin' about his dick. Dick, glass, dick, glass, dick, glass, dick, glass, dick, glass, dick, glass, dick, glass. And then, *foosh*, he lets it rip. And he-he's pisses all over the place, man. He's pissin' on the bar. He pissin' on the stools, on the floor, on the phone, on the bartender! He's pissing everywhere *except* the fucking glass! Right? Okay. So, bartender, he's laughing his fuckin' ass off. He's $300 richer. He's like, "Ha, ha, ha, ha!" Piss dripping off his face. "Ha, ha, ha, ha!" He says, "You fucking idiot, man! You got it in everything except the glass! You owe me $300 punta." Guy goes, "Excuse me just one-one little second." Goes in the back of the bar. In back, there's a couple of guys playing pool. He walks over to them. Comes back to the bar. Goes, "Here you go, Mr. Bartender, 300." And the bartender's like, "What the fuck are you so happy about? You just lost $300, idiot!" The guy says, "Well, see those guys over there? I just bet them $500 a piece that I could piss on your bar, piss on your floor, piss on your phone, and piss on you, and not only would you not be mad about it, you'd be happy."

Boondock Saints

http://www.youtube.com/watch?v=Smo3gc2zl84

Yakavetta: I'm having a shitty day. I'm depressed. Tell me a funny joke.
Rocco: Now? A joke? Uh... um, uh... A joke. Yeah, alright. Um... There's these, uh, three guys, uh... a-a-a-a spic, a-a-a-a white guy and a black guy.
Yakavetta: Nigger.
Rocco: Yeah, n-n- Yeah. And-and they walk along the beach, they see this pot, they rub it, genie comes out. Genie says, you know, "You wish for anything you want." So, he asks, uh-uh, Mexican what-what he wants, and he goes, uh, uh, "I want, uh, all my people in America to be happy and free and in Mexico." And so, genie - Poof! And, all the spics are in Mexico. And then he asks the black guy...
Vincenzo Lipazzi: Nigger.
Rocco: Yeah, that's what I said. Goes to the, uh- uh, nigger, says, uh, "What do you want?" And he goes, um, uh, "I want all my African- my nigger brothers in America to be back in Africa and-and happy and everything." You know? So, genie goes poof! And, um, all the niggers in America are in Africa. And, uh, uh, uh, this is go- I'm not funny today. I-I know. I'm havin' a hard day. I-I-I- This joke sucks. It's-it's-it's a stupid joke.
Yakavetta: Continue the joke.
Rocco: So the genie says to the white guy, uh, um, "What's your one wish?" And the white guy goes, "You mean to tell me all the niggers and spics are out of America?" Genie goes, "Yeah." He says, "Well, um, I'll have a Coke, then."

Of course Annie Hall



Alvy Singer: [addressing the camera] There's an old joke - um... two elderly women are at a Catskill mountain resort, and one of 'em says, "Boy, the food at this place is really terrible." The other one says, "Yeah, I know; and such small portions." Well, that's essentially how I feel about life - full of loneliness, and misery, and suffering, and unhappiness, and it's all over much too quickly. The... the other important joke, for me, is one that's usually attributed to Groucho Marx; but, I think it appears originally in Freud's "Wit and Its Relation to the Unconscious," and it goes like this - I'm paraphrasing - um, "I would never want to belong to any club that would have someone like me for a member." That's the key joke of my adult life, in terms of my relationships with women.