David Letterman did something along these lines when he gave a list of the top ten Bill Clinton jokes. He never actually got to the punchline, he just would trail off and look at the audience, who could figure it out for themselves and were hysterical by that point.
A somewhat well-known joke concerns a pair of hikers who die while rock-climbing. As their souls ascend to heaven, they see a pair of eagles and exclaim, "Ah, eagles!" The eagles, to be polite, say nothing.
"Ah, souls!" (Say it out loud. Works best with a British accent.)
Another variation involves a flounder and a sole who bump into each other on the bottom of the ocean. Same punchline.
"The New Orleans Hooker (long pause) had sex with several miners." "Michael Jackson(an even longer pause, with audience already chuckling) was famous in the 80's! What did you think I was going to say?"
In Crazy with a Capital F, Dan Cummins talks about an ant infestation he once had and says he imagines that all ants speak with a British accent. It's because they colonize. Well, it was a stealth pun until he explained it.