One of Frank Skinner's:
Linford Christie goes to try to join his local golf club. They refuse to accept him because he's black, and tell him that there's a municipal golf club 10 minutes down the road, which he can play at. He says "Don't you know who I am? I'm Linford Christie!". They reply, "Oh alright, since it's you... 5 minutes down the road"
It's good on two levels. Firstly it's funny, secondly there's the relief at the end when it turns out its not a racist joke.