I also, almost accidentally, found at least one way to tell a joke effectively to high school students. The key is contrast. In Geometry, we've gotten to that chapter on basic logic – conditionals, propositions, negations, and so forth. In defining negation, I offered the synonym "denial".
Then, unable to resist, I embarked on a highly speculative venture.
Says I, "There are two things you need to know about denial." Blank stares. "The first is kind of serious, and psychological: denial is considered the first step to acceptance." More blank stares, and a few shocked looks from the few who have heard this before.
"The second is kind of silly, but everyone should know it." A dramatic pause. "Denial is a river in Egypt."
And the room erupted in laughter. I've never gotten that kind of response to such a terrible – and well-worn – pun before, and I'm convinced the key is the set-up.