A dry sense of humor relies on subtlety and wit.
A goofy performance doesn’t accompany a dryly told joke.
You won't chuckle as you say it to signal that you are joking.
In fact, some people won't grasp that you were joking.
The humor emerges from the words themselves.
They would be funny written down because their meaning slices straight to the facts and exposes what's funny — for those capable of understanding it.