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I like this one:

I said,

"So, what religion are you?"

He said,

  "Christian."
"Which denomination?"
  "Baptist."
"Southern or Northern Baptist?"
  "Southern."
"Reformed Southern Baptist or Traditional?"
  "Reformed Southern Baptist."
"Reformed Southern Baptist Convention of 1814 or Reformed Southern Baptist Convention of 1920?"
  "Reformed Southern Baptist Convention of 1814."

So I shot him!