Once, in the collective imagination, elves were creatures of the forest, always up to mischief. They were of small stature and green skin. They had pointy ears. While they were not openly hostile to humans, they were still dangerous because they were very magical creatures. They would dance in the dark forests, and woe to those who disturbed them then.
Then J.R.R. Tolkien came along. He made the elves tall and fair and noble, made them to look almost like humans. Yet they retained some of their old characteristics. The pointy ears, though never actually mentioned by Tolkien, stuck. They also retained some of their old behaviour. Though less dangerous they were still fond of fun and jokes and laughing.
And though Tolkien changed them, they were now a more interesting and multifaceted people than before. They were interesting because of the tension between them being ancient, wise, immortal, doomed and at the same time joyous, gay (in the old sense of the word) and sometimes almost childish.
Then the Tolkien ripoffs and role playing games came along. They simplified these complex elves down to a stereotype: The noble elder race, immortal, but nevertheless stagnating, decaying, dying. The writeups in this node almost all tell of those twisted, simplified people. Yet Tolkien didn't make them such one-dimensional creatures. The reason you don't read of them having fun in The Lord of the Rings is that they are at war and have more important things to do. (Sauron certainly isn't up to anything fun!) Yet there are some hints, particularly in The Hobbit:
So they laughed and sang in the trees; and pretty fair nonsense
I daresay you think it. Not that they would care; they would only
laugh all the more if you told them so. They were elves of course.
But in present-day imagination, elves are condemned to being noble and tragic all the time. Poor elves are never having any fun.