There is actually an ancient jokebook that we have found: http://en.wikipedia.org/wiki/Philogelos And there appear to have been more.
Some really don't work for us anymore, others surprisingly do.
some examples:
Barber: how would you like your hair cut?
Customer: in silence.
(source: QI, the tv show)
Bitten by many fleas, a fool put out the lamp, saying: - "You can’t see me now!"
An Abderite saw a eunuch talking to a woman and asked if she was his wife.
When he replied that eunuchs can’t have wives, the Abderite asked:
-"So is she your daughter then?"
Wishing to teach his donkey not to eat, a pedant did not offer him any food.
When the donkey died of hunger, he said:
- "I've had a great loss. Just when he had learned not to eat, he died".
(find more at: http://www.hellenism.net/cgi-bin/sec...?section_id=60)
Except for real jokes, sometimes inscription are quite funny as well. A fun example is this Greek sling bullet which now is in the British Museum:
If you look wel you can see DEXAI, well at DEXA, the I is difficult to see in this picture. It Greek for "Catch".
An example of Roman Humour? The only thing I can think of is this anecdote of very rich Roman who just randomly punched people in the face as he walked through the streets. He had a servant running behind him giving these people money, the exact amount as the fine the law dictated. Obviously one can doubt whether this humour, but apparently the bloke did. I can't recall the source at this moment though.
If really interested see Mary Beard's Laughter in ancient Rome: http://www.ucpress.edu/book.php?isbn=9780520277168
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