Well, I think I understand it intellectually, but it's not funny for me, because I have no reference point.
Well don't worry its not usually funny like HAHAHAHA either, but more like "hehe! That's funny cuz its true" :P So you're not missing much, and if you keep learning like you are, you should be able to get other things as well

Another thing they touched on in the South park movie was how Canadians always say "Eh?"

And yeah, I could (and do) make fun of people from Texas as well :P.