I was having a conversation with a friend and the idea of intimacy came up. My friend says, "Intimacy is a touchy subject." I then proceeded to laugh my ass off. It just struck me as a wonderfully hilarious pun.
What made it so great to me, though, was how casually it was said. There was no emphasis or winks or nudges. It was said totally straight. In fact, if I wasn't paying attention, I would have missed it entirely.
When somebody makes a great joke but does it in such a subtle manner, the best response (aside from hearty laughter) is, "I see what you did there." It acknowledges that they made the effort to create a joke, and that it did not go over your head.
I love a good subtle joke, both hearing them and making them. I like that they are no-pressure forms of comedy. If somebody doesn't laugh, you just assume they didn't get it or you pretend that it wasn't a joke in the first place. It's particularly useful when you can't figure out what kind of humor somebody would appreciate or you don't know what kind of mood somebody is in.
It's also great if you simply want to try your hand at subtlety. Find a way to sneak a joke into a conversation. Try to say something that is simultaneously funny and serious, something that is a joke, but also a legitimate answer to a question.