A joke is not a thing but a process, a trick you play on the listener's mind. You start him off toward a plausible goal, and then by a sudden twist you land him nowhere at all or just where he didn't expect to go.
“The main secret for a horse that is heavy upon the hand, is for the rider to have a very light one; for when he finds nothing to bear upon with his mouth, he infallibly throws himself upon the haunches for his own security.”