Oh and QuickSilver is also right that I let him make sex jokes and instead of running to HR I would just tell him I hoped his dick fell off. I definitely blew it on that one because now he doesn’t get why sex jokes aren’t ok. I did send him an email a few weeks back saying to cut it with the sex comments because they aren’t welcome, just so it would be on the record. Ever since I met this guy, I have learned not to joke about that stuff with co-workers ever. I set a different tone on that one now, believe me.
I like **Happy’s ** solution, but as for me, I usually just do the “stare at them and walk away.” I know I have a sense of humour (and a damned good one, at that); I don’t need to prove it to anyone. As others have said, what he’s doing is manipulative aggression; figure out where your boundaries are, tell him when he’s crossed them, and don’t back down. So you used to joke with him about sex stuff? Not anymore. You changed your mind, and you don’t think it’s appropriate for the office anymore.
I agee with Happy Lendervedder. Start documenting this. First, takes it out of a he-said-she-said-i-said-they-said mess. Second, if things get worse, it allows you to talk facts to HR. On XX day, he said XXX. On XX day, he said XXX. Third. It gives you something constructive to do.
I have no professional-situation advice as my work isn’t very “professional”, but when people say that to me, my response is as follows:
“'Kay.” And then I walk away and nonchalantly continue with my work.
I can’t even begin to describe the wonders this has worked in my life, but not being an entertaining target has saved me from hearing a lot of “jokes”. 
It’s actually never come up
“You have no sense of humor.”
“Oh yeah? Well, you’re… you’re ugly!”
“You have no sense of humor”
“That’s no true. An hour from now, when I’m telling everybody in the break room about what you just said, we’ll all be laughing at you.”
I always respond: I do when something’s funny.
I think Rick Morranis said it best:
You could try telling a Dead Baby joke.
I’m on JTunder s wavelength. I think it should go…
Them: “You have no sense of humour.”
You: “You’re ugly, but I haven’t menioned it.”
Unfortunately, a perfect comeback to almost all of these comebacks would be:
“Case in point.”
Oh yeah? Knock knock.
“You have no sense of humor.”
“But I do have some clues – want one?”
Actually I don’t have a sense of humor. The doctors said that part of my brain was destroyed by the chemotherapy I had to undergo when I was 6 years old and had Leukemia.
Why do you ask?
“No. I don’t have a sense of humor.”
Then I just stare at them until they get creeped out and leave.
I like the writing down method, but instead of freaking him out with a “death list” kind of impression, I would re-use his “humor” against him. If it’s really rude, or simply annoying, read it all straight to him. Then, as he is apalled by what you just said, you tell him you’re just kidding. That in fact, all those were his jokes.
It doesn’t look so cool when I write it down, but I think it could work.