I characterize dry humor as being able to say something incredibly funny while giving the appearance that you haven't. This kind of comedic delivery is also known as deadpan. Dry humor is usually much more subtle than other forms and doesn't really depend on slapstick, physical situations, or vulgarity.
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"If people do not believe that mathematics is simple, it is only because they do not realize how complicated life is."
~~ John von Neumann