Mary Tyler Moore told this story on the Conan O'Brien show. Actually I heard a version of it before that, but it works better with Mary in it.
When Mary Tyler Moore was a young actress, she knew an actor by the name of Penis von Lesbian. Penis was a very talented actor, but he had trouble getting work due to his name. Everyone told him to change his name, but he didn't want to offend his family.
One day, Mary runs into him and and says "hello, Penis."
He replies, "Hello Mary, but don't call me that anymore. I changed my name."
"What's your new name?"
(And now we'll see if anyone in this group can recall the punch line that I told you last month.)