The best comedy stems naturally from a setting, I find, without being overt. It comes in the form of situations that make complete sense in context but seem absurd from without.
Traveller has a fair amount, due to the various factions' perspectives.
The Hiver-K'kree War is pretty funny, for example.
"Things tried to eat us once. It was horrible. There was blood and everything."
"Well, *something's* got to eat the babies."
"We don't like you. Anyway, we need to take over the universe now."
"No, this is our garden. We're poking things with a stick here to see what happens. Stop killing them. That's not clever or interesting."
"War now."
"We forgot to have a navy or an army. We do have cheerful psychotic lizards, though. They like this game."
"Ha! we win! Even your cheerful psychotic lizards are no match for our monomaniacal obsession."
"That's a nice vegetarian population you have there. It would be a shame if someone were to SELL THEM MEAT SAUCE!"
"Noooooo! We've lost! Run away!"
"We know what evil lurks in the heart of horseman. Don't make us turn you genocidal crusaders into *monsters*."
"Er, I mean, we can take over the universe at some undetermined point in the future, we don't have to do it *today*. So there."
"We're very clever. Either because we did something clever or we pretended we did, which is equally clever, so there."