Have a look at Christopher Hitchens' article from the January 2007 Vanity Fair "Why Women Aren't Funny." (Hat tip: Tigerhawk). The article is somewhat tongue-in-cheek, but does have a point, which is (very boiled down), that men are funnier because they have to be: "Women have no corresponding need to appeal to men in this way. They already appeal to men, if you catch my drift." Men are funnier, Mr. Hitchens says, becuase they ". . .have to pretend, to themselves as well as to women, that they are not the servants and supplicants. Women. . .have to affect not to be the potentates. This is the unspoken compromise."
Mr. Hitchens also opines that women are quicker to spot the unfunny, because "[m]en will laugh at almost anything, often precisely because it is -- or they are -- extremely stupid. Women aren't like that."
But the most important thing to bear in mind about this whole piece is that El Jefe didn't write it. (SWMBO, take note).