it depends on the person.
I have met a lot of intelligent and humorous individuals.
A person who is intelligent AND humorous is able to cleverly
remember obscure details and use them in a new way that is
ingenious and hilarious. It is the way they manipulate their words
that is so humorous.
Humor is also different for everyone, so the reason you don't think
women are funny for the most part is probably because you have a different sense of humor.