From the archives:
"Caesar, a nun, and Pocahontas walk into a bar..."
Explanation: This isn't actually a joke, it's from Halloween of 2004:
See, Jim was Caesar, Cheryl was Pocahontas, and I was a nun. So there you go. If it was a joke, the punchline would involve the band members at the party getting into a fight and might also involve Super Grover. Just trust me on that.