The Secret Band Geek Haven is a very funny and thoughtful site.  It's like this page, only much much more complete.

And some others: (freshest links on top)
http://www.qnet.com/~serranobnd/drumtestone.htm
http://www.maui.net/~pbm/jokes.html
http://www.geocities.com/Colosseum/5570/jokes.html
http://www.geocities.com/Vienna/9044/
http://www.rocketink.com/bandjokes.html
http://www.expage.com/page/tubasjustrock
http://www.expage.com/page/maconbandjokes
http://ourworld.compuserve.com/homepages/bruceham/Jokes.html
http://home.bluemarble.net/~kate/scene/mj.html
http://www.e-bassa.com/humor/index.asp
http://grove.ufl.edu/~hook311/instrument.html