A related term is 'deadpan', for the way the jokes are delivered with a straight face and no emotion. Example: http://www.youtube.com/watch?v=Iywd_fHJLb0

You Chinese love our British dry sense of humour.

I think dry humour is a style which does not set itself up for huge belly laughs, and does not 'flag' the fact you are telling a joke. It becomes hilarious because while it sounds like regular, even boring conversation, it relies on the listeners' own intelligence to make the comical and witty connections. So... some people do not get it. Get stuck into some Oscar Wilde. :)

Australians, like the British also have a dry sense of humour. Not everyone is able to relate to this type of humour.

Not everyone. How about that for a simple answer. ^^