"Cold joke" and I disagree with the above....in English WE DO have cold jokes, they are jokes that not all people find funny, for many reasons (no. 1 probably being cultural difference). In England we have many comedians who are famous for their cold jokes!

"冷笑话" literally means "cold joke". However, there is no such phrase in English. There are some related phrases, however. I think the general idea of this phrase would be captured by the English phrase "bad joke", however, there are various kinds of bad jokes. Many consider puns to fall into this category. A pun is a phrase that deliberately exploits confusion between similar-sounding words for humorous or rhetorical effect. See http://en.wikipedia.org/wiki/Pun . A pun is a type of play on words.

Well..it's known as a 'lame joke' to me...but it may not be theoretically correct.