The Discovery Channel had a fascinating show on the mating habits of hyenas. They said that the male hyena often will get angry at the female hyena while they are having sex. It doesn't help that the female hyena is laughing at you all the time.

Framed as a mock “nature documentary” observation, the joke pivots on anthropomorphism: Leno attributes human emotions (male anger, female mockery) to hyenas’ mating behavior, then lands the punchline by literalizing the cliché that hyenas “laugh.” The humor depends on incongruity—treating a scientific-sounding premise as if it were a relatable sexual scenario—and on the audience’s pop-cultural association of hyenas with laughter. It also plays into a familiar stand-up dynamic of male sexual insecurity and perceived female judgment, using the animal vignette as a safe, absurd proxy for human intimacy and embarrassment.