Chris Rock does some hilarious skits about black people.
How Not To Get Your Ass Kicked By The Police (Warning! Some foul language)
Heck, even Jerry Seinfeld has made cracks about being Jewish. And have you have seen Larry David on Curb Your Enthusiasm? He makes fun of himself being Jewish just as much as he makes fun of Christians. I'm Catholic and I think it's funny stuff.
In the world we live in if you don't have a sense of humor you'll go bonkers.