The words анекдот and шутка can both be translated into English as joke, but they don't mean the same thing. A joke that you say out loud that has a punchline is анекдот. When you replace the salt in the salt shaker with sugar, that's шутка.

Russians have a wealth of jokes, and one type of joke that used to be very common is "Armenian Radio" jokes. These jokes play off of old radio shows where listeners used to call in and ask questions, and then the experts on the radio would respond with sage advice. The joke usually begins with «Армянское радио спрашивают» “Armenian Radio was asked” or «Армянское радио сообщает» “Armenian radio reports”. Here's a classic example: