James: I have a joke. Sex!
Ronny: I don't get it.
James: Exactly.
The Sex "Joke"
Explanation
James tells Ronny that his "joke" is the word "sex." When Ronny doesn't understand, James reveals that the punchline is that the humor lies in the fact that it's not funny at all. It's kind of anti-humor, in a way.
The one and only, brand
That was more of a burn