An unjoke is a "joke" that doesn't actually employ humor whatsoever. Most unjokes will use the set-up from a well-known joke to hook the listener in, then end the joke with a completely serious "punchline." It is crucial that unjokes ARE NOT FUNNY at their base value. What's funny about them is that they aren't funny at all. If you don't get that, then you just don't get it.
Here are some unjokes for your enjoyment.
Q: How do you drown a blond?
A: Hold her head underwater until she stops struggling.
So, a duck walks into a bar and sits down on a barstool. Animal Control is called immediately, they capture the duck, and set it free at a nearby pond.
Q: What's the difference between a Jaguar and a dead baby?
A: One is an automotive machine and the other is a tragic loss of human life. There's lots of differences, honestly.
Q: How many Jews can you fit in a Volkswagon?
A: Five. Four, comfortably.