Cold and Blue

Alright listen up, you chucklehead. This "joke" is a real stinker. The question sets you up to think of something sad, but the punchline is "cot death," which is when a baby dies in its crib. It's cold and can be a cause for women to cry because, well, their baby just died. You probably didn't get this joke because you think babies come from storks, dummy.