In the study, "Men's sense of humor and women's responses to courtship solicitations: an experimental field study", the author (who you might remember from such classic studies as "Women's bust size and men's courtship solicitation" and "Bust size and hitchhiking: a field study" set out to test whether "producing humor might function as a fitness indicator associated with greater desirability during dating selection."
For the experiment, the researcher recruited several young "male confederates" (no, not the Southern kind) to help out. The guys sat in a bar near a woman, and one of them was instructed to tell (or, in the control condition, not tell) three jokes to his companions.
The two companions were instructed to respond with phrases like "That's hilarious!" and "You always know the good ones!". The companions then left, and the joker asked the woman (who had overheard the whole charade) for her phone number. Finally, the woman was "debriefed" and asked to take a short survey to rate the guy on his attractiveness, intelligence, and sense of humor.
The result of these shenanigans? "The previous expression of humor was associated with greater compliance with the male confederate's request and with a higher positive evaluation." In other words, the guy who told jokes was rated as funnier and more attractive by the women, thus snagging him more phone numbers.
So basically, the author thinks women like funny guys because it shows their intelligence, but men choose women for other reasons—perhaps bust size?