Among people of the world, Malaysians have a very high and healthy sense of humor. But it comes with some provisos.
1. Dont make any jokes about anything until you have learned your way around.
2. Dont repeat jokes that you heard a Malaysian say. Jokes they say are a nice, fun, happy joke, but you repeating them become insults which they take personally. Go ahead and do that and you'll be minus a friend tomorrow. I feel the same about my country. USA jokes are for americans to tell, not for others to tell about americans.
3. There are very few generic, country-wide jokes because humor is mostly contained within each of the cultures. Chinese have theirs, Indians have theirs, etc. Malays can tell a joke Indians would not find funny.
4. Humor is best contained within your own group of friends who have learned whats possible or off-limits.
5. Malaysians as a group tend to remember someone (or not) depending on how much they laughed. Recalling their first prime minister, they say: "Oh yeah, we loved him, he was so funny and had us laughing all the time!" (nevermind the country's economic or other problems at the time as a basis for judging a PM)
6. Malaysians like to tell jokes against adjacent races. Chinese have plenty of jokes against Malays, Indians against Chinese. If you are in a close knitted group of Malay friends and you tell a joke against a Chinese, you'll get a laugh. However, they are not YOUR Chinese to make the joke against and so while you got the laughs at the moment, they also dislike you for intruding on their turf but they wont tell you that to your face. You didnt make an enemy but they will never forget your rubbed them the wrong way. At the same time, each race wants you to agree that THEIR race is superior so you better laugh at their jokes. Well, you will, they are always hilarious.
7. Though all types of humor are welcomed, Malaysian thrive on insults and sarcasm and these are not always so easily appreciated or understood by others. You have to learn the nuances.
8. Westerners like to tell jokes about peoples looks--if the person is short, tall, fat, thin, ugly. This doesnt work in Malaysia. Malaysians are already super-sensitive about their looks, and also they dont judge a persons looks before they have determined if they like them or not. If you ask a Malaysian if they would be friends with a super fat obese person, they would say it depends on their personality and i think they are being sincere. I was on a date once and saw a really cute though very short woman, maybe she was 4 ft 6 inches. I told my date that in my country we'd call her "shortcake" to which I got roars of disapproval in response. I thought it was so innocent! What did i say?? See how it goes?
9. I think Malays have the best sense of humor of all, and self-effacing jokes work well. Tell a joke against yourself, for your idiocy or incompetence, something you really would laugh over and that is going to get you instant friends.
10. Keep your jokes about situations, not about people you want to target. Dont tell jokes EVER about anyones religion even if your whole group is (but they usually dont). Dont tell jokes about anyones poverty or lack of education or station in life. Pretty much everything else is wide open, just go lightly about the government, police and other institutions. And remember that jokes in your homeland dont necessarily work here. Go slowly and listen and learn.
11. By way of conversation, you CAN compare jokes. "Oh yeah! In my country we tell a similar joke like this..........." Now you are being funny and non-threatening.
Ok enough for today! Thats my own take on local humor, your experience might be different.