I actually don't know if this is my uncle's favorite joke, but he's told it to me so many times that I am taking the liberty of assuming that it is. For background, my uncle is a Holocaust survivor who still, every time he sees me, tells me stories about "The War" that I have yet to understand. He was in "the camps" (I think a labor camp) with someone who later become a YU rosh yeshiva, and has since left YU.
Seymour and Hilda Rosenberg became very wealthy and decided to move uptown where they could consort with a more refined crowd. However, after the move, they found that they were not allowed into the finest clubs because they were Jewish. After much discussion, they decided to convert to Christianity. They made a big affair of their baptism and, after a nice dinner that was attended by all their new high-society friends, they returned to their fancy uptown apartment for a good night's sleep.Note that cultural misunderstandings are blamed on gentile stupidity, a mainstay of ghetto-Jewish humor. Deeper, though, is the idea that one can never escape one's Jewishness. The ironic claim that Seymour is no longer Jewish really means the exact opposite: Once a Jew, always a Jew.
In the morning, Hilda found Seymour wearing his tefillin and mumbling the morning prayers. "Seymour, you don't have to do that anymore. We're not Jewish!" Seymour replied, "Oy, I forgot. Nebach, such a goyishe kop."