There's an old saying that being funny is the hardest thing to do, and it is probably true. I suspect it's because being funny relies so heavily on the mood of your audience--you can twist mid story, be self deprecating, or just ride the good vibe of the people before you. When it's just you and the blank screen, however, there's a lot less 'moment' to guide you through your routine.
Below is a Woody Allen joke about being kidnapped. I know a lot of people don't like Allen, but I've always found him a funny sort, and I reckon you can learn a lot by listening to how he structures his gags.