Those who read Nietzsche often find him very funny. (Some of those who read him find him extremely unfunny too, especially when the joke is on them.) His humor sometimes sneaks in on you in the most unexpected of places. A good example is found in the following:
On the future of Christianity. – As to the disappearance of Christianity, and to which regions it will fade most slowly in, one can allow oneself a conjecture when one considers on what grounds and where Protestantism took root so impetuously. As is well known, it promised to do the same things as the old church did but to do them much cheaper; no expensive masses for the soul, pilgrimages, priestly pomp and luxury; it spread especially among the northern nations, which were not so deeply rooted in the symbolism and love of forms of the old church as were those of the south: for with the latter a much stronger religious paganism continued to live on in Christianity, while in the north Christianity signified a breach with antithesis of the old native religion and was from the beginning a matter more for the head than for the senses, though for precisely that reason also more fanatical and defiant in times of peril. If the uprooting of Christianity begins in the head then it is obvious where it will first start to disappear: in precisely the place, that is to say, where it will also defend itself most strenuously. Elsewhere it will bend but not break, be stripped of its leaves but put forth new leaves in its place–because there it is the senses and not the head that have taken its side. It is the senses, however, that entertain the belief that even meeting the cost of the church, high though it is, is nonetheless a cheaper and more comfortable arrangement than existing under a strict regime of work and payment would be: for what price does one not place upon leisure (or lazing about half the time) once one has become accustomed to it! The senses raise against a deschristianized world the objection that too much work would have to be done in it, and the yield of leisure would be too small: they take the side of the occult, that is to say–they prefer to let God work for them (oremus nos, deus laboret! [let us pray, let God labor!]).
The buildup has been gradual; the section begins by inducing a few chuckles before returning to seriousness, and then builds up to the final punchline in Latin. It is the imagery summoned up by that punchline that evokes the most mirth: the lazy devout, earnestly hoping their prayers will be adequate substitute for lack of effort in the here and now, the required labors outsourced to a hopefully existent God.
Note: Excerpt from Human, All Too Human: A Book For Free Spirits. Translated by RJ Hollingdale, Cambridge University Press, 1986; this version includes Volume 2: Assorted Opinions and Maxims, from which I have quoted Section 97 on page 233.