The AMS has a 2005 paper “Foolproof: A Sampling of Mathematical Folk Humor” which is — delightfully — filled with math jokes. Excerpts:

Q: What’s sour, yellow, and equivalent to the Axiom of Choice?

A: Zorn’s Lemon.

Q: What is a topologist?

A: Someone who cannot distinguish between a doughnut and a coffee cup.

Theorem.All positive integers are interesting.

Proof.Assume the contrary. Then there is a lowest noninteresting positive integer. But, hey, that’s pretty interesting! A contradiction.

Q: How many light bulbs does it take to change a light bulb?

A: Just one, if it knows its Gödel number.One day a farmer called up an engineer, a physicist, and a mathematician and asked them to fence in the largest possible area with the least amount of fence. The engineer made the fence in a circle and proclaimed that he had the most efficient design. The physicist made a long, straight line and proclaimed “We can assume the length is infinite…” and pointed out that fencing off half of the Earth was certainly a more efficient way to do it. The mathematician just laughed at them. He built a tiny fence around himself and said, “I declare myself to be on the outside.”

One day the Wiener family was scheduled to move into a new house. Mrs. Wiener, mindful of her husband’s propensity for forgetting, wrote the new address on a slip of paper and handed it to him. He scoffed, saying, “I wouldn’t forget such an important thing,” but he took the slip of paper and put it in his pocket. Later that same day at the university a colleague came by his office with an interesting problem. Wiener searched for a piece of paper and took the slip from his pocket to use to write some mathematical equations. When he finished, he crumpled up the slip of paper and threw it away. That evening, he remembered there was something about a new house but he couldn’t find the slip of paper with the address on it. Without any alternative course of action, he returned to his old home, where he spotted a little girl on the sidewalk. “Say, little girl,” he said, “Do you know where the Wieners live?” The girl replied, “That’s o.k., Daddy, Mommy sent me to get you.”

The full paper is here. For still more jokes, see this MathOverflow question and this page.