Cecil Adams at The Straight Dope:
There’s this thing called a “joke,” Frank, that you should become acquainted with. A joke is a display of cleverness intended to engender yux. Some people, however, require advance notice if they’re to recognize a joke when they see one. In polite society it’s customary when in the presence of such people to signal the onset of a joke by means of some subtle stratagem, such as a siren, large firecracker, or gong.