One sign of intelligence is being able to recognize your own image in a mirror. Dolphins' ability to recognize their own reflection is one reason they are considered one of the smarter human-inferiors.
On the Homo sapien front, having a sense of humor about yourself requires a certain knowledge of your own mannerisms, inflections, behaviors. Humorless people lack this knowledge. When a mirror (of sorts) is held up to them in the form of a joke, they do not recognize their own image.
So while having a sense of humor about yourself may not be associated with how intelligence is traditionally measured, if there is anything to "emotional intelligence," perhaps it has implications there. We'll get Oprah on the case.
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