My dad is so good at hiding, even the FBI can't find him.
I worry about him sometimes.
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Explain Bear
Alright listen up, buttercup. This joke is funny 'cause it's a classic case of dark humor, see? The dude's dad is so good at hiding, not even the FBI can find him, which implies the dad might be running from the law or something shady. Then the joke-teller says he worries about him, adding a layer of morbidness to the whole thing. I bet you still live in your mom's basement.