Also a sorta cheesy but funny the first time joke.

The phone rings. My friend picks it up.

"Hello?....You don't say!
...You DON't say!
...You don't SAY!
...YOU don't say!"

After he puts a suprised look on his face, he hangs up the phone.

After waiting for a good 30 seconds while he picks up the newspaper and reads like nothing happened, I get impatient and blurt out "Who was it?"

He puts the paper down, looks at me and spoke.
"He didn't say"