What instrument do people like to listen to while having sex?
A sex-a-phone.
Sex-a-Phone
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Explanation
Explain Bear
Alright, listen up, buttercup. The joke is a pun! It's playing on the words "saxophone" and making it sound like "sex-a-phone". Get it? Because people are doing the deed and a saxophone is a musical instrument. You probably still don't get it, but that's alright. Not everyone can be as smart as Explain bear.