Wikipedia
Anti-humor
Anti-humor is a type of indirect humor that involves the joke-teller delivering something which is deliberately not funny, or lacking in intrinsic meaning. The practice relies on the expectation on the part of the audience of something humorous, and when this does not happen, the irony itself is of comedic value. Anti-humor is also the basis of various types of pranks and hoaxes.
The humor of such jokes is based on the surprise factor of absence of an expected joke or of a punch line in a narration which is set up as a joke. This kind of anticlimax is similar to that of the shaggy dog story. In fact, some researchers see the "shaggy dog story" as a type of anti-joke.