I found a great page for musical jokes: http://www.mit.edu/~jcb/jokes/
For example:

  What do you get when you drop a piano down a mine shaft?
  A flat minor.

  What do you get when you drop a piano on an army base?
  A flat major.

  Why is an 11-foot concert grand better than a studio upright?
  Because it makes a much bigger kaboom when dropped over a cliff.

  Why was the piano invented?
  So the musician would have a place to put his beer.

  The audience at a piano recital were appalled when a telephone rang
  just off stage.  Without missing a note the soloist glanced toward
  the wings and called, "If that's my agent, tell him I'm working!"

D. L. Bullock