I don't know about Arabs but Iranians definitely have a sense of humor. I once knew an Iranian named Hassan and at first he didn't seem to have much of a sense of humor. Anyway, I sometimes would leave long messages in an Iranian accent on his answering machine as if I were Ayatollah Khomeini speaking to him from the dead and giving him strict instructions on how to avoid the temptations of American culture. That really cracked him up. So much so that when I quit leaving those impressions on his answering machine, he begged me to do it again so he would have some laughs when he got home.
I once knew a Kuwaiti Air Force officer who was, without doubt, one of the funniest men I have ever met. He had an acute sense of humor and exquisite timing which he coupled with certain facial expressions that made him a tough man to get though a dinner with without passing a fair amount of the menu through your nose. What did he poke fun at? The Muslim culture (yet he was quite devout).
I remember him telling us in his broken English that, "In Kuwait, if you leave wallet in restroom, it will still be there one, two years! If you see wallet your think yours in restroom, you don't touch! If you wrong, they cut your hand off!" Then to demonstrate how one might safely go about checking an abandoned wallet he rocked way back on one foot, tongue hanging out of his mouth in painful utter concentration, eyeys blinking and wincing, and made like he was pushing an imaginary wallet at sink height. "You must tip . . . it . . . with . . . your . . . foot, and hope it fall open so you can see inside."
Well, you had to be there. But my sides ached.