Like most things with the brain, we don’t know.
It seems to be a social thing. We laugh because other humans laugh and joking and laughing are a way to build relationships. Remember, humans ability to communicate (and teach) is our biggest evolutionary advantage.
There does seem to be a part of the brain that has the job of predicting what will happen next. This is to anticipate danger and such, yes, but also during conversation you are planning your response. So what happens is that you hear the set up to a joke, and your brain starts to predict what will happen in the rest of the joke. But then the punchline is unexpected and it trips up what your brain predicted. And for some reason, we find that dissonance funny. Of course, context matters a lot and the difference between an unexpected joke and an unexpected scare is all about that context.
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