Ancient Roman jokes are usually recorded by ancient writers to be used as a rhetorical device, and many of them are apparently taken from real-life trials conducted by famous advocates, such as Cicero.
One of the oldest Roman jokes, which is based on a fictitious story and survived alive to this time, is told by Macrobius in his Saturnalia: (4th century AD, but the joke itself is probably several centuries older):
Some provincial man has come to Rome, and walking on the streets was drawing everyone's attention, being a real double of the emperor Augustus. The emperor, having brought him to the palace, looks at him and then asks:-Tell me, young man, did your mother come to Rome anytime?The reply was:-She never did. But my father frequently was here.(The modern version is that an aristocrat, having met his exact double, asks: "Was your mother a housemaid in our palace?" "No, my father was a gardener there").
An example of a joke based on double meaning is recorded in Gellius (2nd century AD):
A man, standing before a censor, is about to testify, whether he has a wife. The censor asks:-Do you have, in all your honesty, a wife?-I surely do, but not in all my honesty.(the pun is in the expression used for in all your honesty - orig. ex animi tui sententia, typically used in oaths - which can also be understood as to your liking).
Some of the jokes are about fortune-tellers and the like. An example (1st century BCE):
A runner going to participate in the Olympic games had a dream, that he was driving a quadriga. Early in the morning he goes to a dream interpreter for an explanation. The reply is:-You will win, that meant the speed and the strength of the horses.But, to be sure about this, the runner visits another dream interpreter. This one replies:-You will lose. Don't you understand, that four ones came before you?