Of course they do, they are human too!
Blame it on the Media and Hollywood movies for the often misguided conception about the Arabs. They never show them doing regular thing like the same normal stuff we do. They always show and portray the Arabs as the people with serious faces and as the scary ugly group of terrorists, suicide bombers, war mongers and the likes.
Guys, I will be honest, my Arab looks so serious and he frowns a lot (*LOL* love you baby!) but he has the capability to laugh at himself, at comedy shows, and at jokes about everything. Believe me, he has excellent sense of humor and laughs MORE than I do.
In general, just like everyone else, Arabs CAN be funny. And from what I know, there is a long tradition of comedic theater and cinema, and even comic monologues and impersonations in the Arab world. So they are not new to comedy.
Here are some "proof" that Arabs can be funny too (courtesy of my Arab)...
Saudi style to combat Swine Flu!
Happy Fools Day everyone!
The quality of an individual does not rely on his race, it is how he was raised. ✿