The killing joke is a joke that the Joker created that is so funny you die from laughing once you hear it.
Wasn't it Monty Python? That's the sketch that luna posted above.
(There's a Batman story of that name, where the Joker tries to prove that one bad day could make anyone like him by attempting to drive Jim Gordon over the edge, but it doesn't have a lethal joke as its theme. If there's also a Batman story where the Joker invents a lethal joke I expect it will be very hard to find via a web search because the story above will soak up all of the search results).
(If we're going to do the full disambiguation, Killing Joke are also a Britsh band, who have been around since before the Alan Moore Batman story but are more recent than the Monty Python sketch