A "Third Joke" is when someone says something funny, someone else feels the need to follow it with something that may or may not also be funny, and then a third person, trying to keep up, follows up with a third quip, which by this point is most definitely no longer funny.
It is important for others at this point to call "Third Joke" out loud to point out the third individual's social error, to embarass them for killing the funny.
A truly unskilled individual can Third Joke on the second quip.
Bob: "And then I said, "That's not my fish!"" Haha!
Bill: "A halibut tale!" Haha!
Ted: "I smell fish!" Ha.. um.
Bob: "Third Joke, Ted."