One of the funniest I've ever heard of was in a similar thread to this one. I'll never forget it.
If I recall correctly, the party had encountered some kind of well. They shone a light down it and could not see the bottom. They dropped a torch down the well and it disappeared.
So they decide that the Rogue will climb down a rope to check it out. He gets about half way down and fails his climb check. He falls.
At this point, the GM takes him out of the room to describe what happens. The GM explains that as he tumbles toward the bottom, he sees that the well ends in a Sphere of Annihilation. The character is doomed. As a courtesy, the GM tells the player that he has time to say one thing before he dies. The player nods his head in understanding and the pair rejoins the rest of the gaming group.
At that point, the GM says something like, "The rogue descends the rope into the hole. A few moments later, you hear him say..." *gestures toward the rogue player.
Rogue player: "All clear!"
The rest of the party begins descending the rope...