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.
“When they take surveys of women in business, of the Fortune 500, the successful women, 80% of them, say they were in sports as a young woman.”
“Look, you're either loved or hated. Which is a good thing, as Bette Davis used to say.”