I agree with a few others who said Loki, although usually what HE finds funny, the rest of us find painful and wince-worthy!
Another God with an excellent sense of humor would be Anansi, the trickster Spider God. Neil Gaiman has written tales about Anansi, but he is very old - much older than Neil's imagination!
Norse. Odin was fun, Jehovah, Zeus, Jupiter, and Allah are all mean, Brahman doesn't seem to show emotion, Osiris hasn't been fun since he got murdered, and the Triple Goddess is temperamental.
ummm... depends the christian/muslim/jewish god has the best sick sense of humor. love me so I can torture you.
Hindu god isn't very funny at all
Confucious isn't a god and confusionism isn't actually a religion, it's more of a lifestyle
The Roman/greek gods are just sick
The Norse god Lokey is pretty freaking funny in his own deminted way
Mayans didn't believe in gods in the same way as the eastern religions do.
Egyptian gods weren't about making jokes
Pagan gods... ummm.... they are all pagan gods... pagan is a discription although ignorant people will tell you it's referring to the god's of the anglo saxxons, but that's just how the christians used the term.
as for the etc etc etc.... too many to even begin with that list....