“So there are two whales sitting in a bar. One whale turns to the other whale and says “WWWUUUUUOOOOOAH’. And the other whale turns to him and says, ‘Shut up Bill, you’re drunk.’”
This joke is almost an example of an “anti-joke”, where the punchline is based in pointing out, to humorous effect, the inherent ridiculousness of the joke itself. In this case, the joke creates a world with anthropomorphized whales — sitting at a bar, no less — but when the first whale speaks with a very real-life-whale sound, the listeners forget that they’re supposed to be human-like. The second whale’s response, the punchline of the joke, reminds the listeners of the setup of the joke: whales at a bar.
The performance (listen above) is especially important, because a large part of the funniness of the joke relies on the joke teller to perform something that both sounds like a whale call and like a drunk person’s slurred speech.