An insider is a shortening of the term inside joke, which means a joke that is shared between you and your friends which only makes sense to the people that were with you when whatever it was happened. In other words, it's a "had to be there moment."
Guy: OMG i went to some pet store, and there were some bunnies there. They were really cute.
Group of friends: BUNNIES ON THE CEILING! HAHAHAHAHAHAH!!!
Guy: huh?
*insider is explained*
Guy: Oh. Well, um, that's not really that funny guys.