I found a wikipedia article (I know.. too easy) on Russian jokes. Evidently, many Russian jokes focus on familiar characters and settings (something like ___ walks into a bar), and many more are "hopelessly untranslatable jokes that rely on linguistic puns, wordplay, and Russian's rich vocabulary of foul language."
For instance, in Russian jokes, policemen are seen as unintelligent, and often willing to accept bribes:
"Do you know why policemen always go in threes?" / "No, why?" / "It's specialization: one knows how to read, one knows how to write, and the third is there to keep an eye on the two dangerous intellectuals."
It also seems that Russians have their fair share of ethnic stereotypes as well:
"What do you call one Russian? --A drunk. What do you call two Russians? --A fight. What do you call three Russians? -- A Party Cell"
"What do you call one Jew? --A financial center. What do you call two Jews? --The World Chess Championship. What do you call three Jews? --Native Russian Folk Instrument Ensemble."
Many more can be found here: http://en.wikipedia.org/wiki/Russian_jokes