The idea that Germans do not have a sense of humor is, by and large, a stereotype. But stereotypes don’t generally just spring into existence out of the blue (or the green, for that matter). So where has this particular one come from?
Curiously enough, the German sense of humor (yes, they have one!) is entirely different from the English one simply due to the differences between the two languages!
The English speakers should consider themselves lucky to have a language predisposed to confusion! As a matter of fact, many English jokes are based simply on confusions of meanings resulting from the particular linguistic structure of English, which allows us to:
-lead the conversation in whatever way pleases us, so that the key word/punch line can be unexpected;
-use words with double or triple meanings;
and so on.
German grammar, on the other hand, is a bitch. It is far less flexible than English; key words or punch lines cannot always be shunted to the end. The result is that many English jokes fail to be funny in German (as is often the case when translating these sorts of things). [For a better, in-depth explanation/examples, check out the article linked below.]
Obviously, this then leads to the whole nature/nurture/chicken/egg debate. Which came first, the sense of humor or the linguistic structure?
Is what we find funny simply the result of the geographical accident of our birth?