Death
Explanation
The Joke
The comic opens with someone asking Death (the Grim Reaper) if he is afraid of death himself. Death responds philosophically that no, death gives life meaning. The person then asks if it is true that Death has been "seriously bored" -- spending most of the last several hundred years on the planet of an alien species that does not die. Death confirms this, saying the immortal aliens are "staring at nothing."
The punchline comes when the person asks if Death is going to seriously leave Earth, and Death responds with something like "Why, you got some like it here?" -- implying Death might be considering abandoning Earth for a more interesting assignment, while the human desperately wants Death to stay because, paradoxically, death is what makes human life meaningful.
The Humor
The humor lies in the ironic reversal of humanity's typical relationship with Death. Normally, humans fear and try to avoid Death. But here, when Death threatens to leave, the human is alarmed -- because without death, life would become as meaningless and boring as it is for the immortal aliens. The comic plays on the existentialist idea that mortality is what gives life urgency and purpose, and turns it into an absurd workplace comedy where Death is essentially a bored employee considering a transfer, and humans are the clingy clients who do not want to lose his services.