It comes down to eloquence and timing. Surprisingly enough, the skills needed for stand-up comedy are completely different from those used in a group or in a one-on-one discussion. I'm very successful at the former and the latter, but I suck at the one in the middle.

Raw_Power's explanation is some of it, but also, if a person who is really high status says something in a voice that's inflected as if it were a joke, then it automatically becomes hilarious and people have to laugh. I was very weird and lower status than many people I randomly met up with at the mall (because I was with my super high status friend) and so when I made a joke, no one would laugh, even though they would laugh a lot when he repeated it later. It's not entirely that my delivery was bad, I think it was largely a result of status differentials.