The... the other important joke, for me, is one that's usually attributed to Groucho Marx; but, I think it appears originally in Freud's Wit and Its Relation to the Unconscious, and it goes like this — I'm paraphrasing — um, "I would never want to belong to any club that would have someone like me for a member." That's the key joke of my adult life, in terms of my relationships with women.
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I've always found Allen's words apt, so I'm at a loss to explain my confidence in Wikipedia.