It helps if you have a fondness for Black Comedy, but the documentary The Aristocrats is arguably a Crowning Moment of Truly Filthy Jokes, the Crowning-est of which has to be Gilbert Gottfried's epic version told at the Hugh Hefner roast. The runner-up is surely the one with the ventriloquist's dummy.
Nah, the best sequence from that movie is where Andy Richter was telling a fairly-standard Aristocrats joke to his baby son, in a playful, giggling sort of manner, and after the "punchline", he gets a really serious, almost worried, look on his face and says "And both of the men were probably Jews." Even the cameramen, who you didn't hear much of during the rest of the movie, cracked up.
Then there's Sarah Silverman's bit. Oh sweet Jesus, the stop and stare horror of it, the casual way she delivers it. Has to be seen to be believed.
Wendy Liebman subverted the entire concept with her telling of the famous joke. She spins a tale about a sweet, innocent family having milk, cookies, and being tucked into bed. At the end, the cameraman provides the setup, "And what's the name of the act?" "The Cocksucking Motherfuckers." And, much like the example listed above, the cameraman cracks up for a few seconds.
No way, Bob Saget's is clearly the best. Made even better by the fact that he's casually doing it backstage before a show and suddenly gets up and leaves in the middle because he has to go onstage!
And as he goes, he shouts back, "Be sure to send a copy of this to the Olsen twins!"
I preferred Stephen Wright's less-dirty, more-terrifying take on the joke.
This troper was shocked at how hilarious Gilbert Gottfried was in this film not once, but twice. The first as he tells a horrifically, graphically disturbing version of the joke, and then later when a roast audience squirms at his 9/11 joke, and he punishes them for their insolence by launching into yet another elaborate, terrifying version of the joke that causes Rob Schneider to drop out of his chair and convulse on the ground with laughter as Gilbert completely wins the crowd back.
And I'll chime in with my appreciation for Jason Alexander's wonderful turn, in which a combination of child abuse, glitter, and a spotlight create a truly wonderful, yet horrifying image.