It is quite nearly impossible to understand humor in a foreign language unless it is very simple.  Humor is definitely a cultural thing and of course a language thing.  You must know the society, the people, the culture, even the history, the values, everything.  I remember going to Superman at the movie theater in one of the first couple weeks of being here, which was 3 months ago, and Spaniards would laugh and almost none of us Americans would because we just didn't understand.
In the last month, I've seen two movies, Alatriste, which is a Spanish made movie and Texas Chainsaw Massacre.  Both of these don't have a lot of humor, but I could understand the sarcasm and the slang and it made them a lot more enjoyable.  And, now, I can kind of joke around with my host mom.  I still don't understand a lot of the humor but being able to laugh with someone in a different language is great.
Learning the language better has definitely helped, especially the slang, but I think it has been more useful to learn about the culture and values.  To be able to joke with people makes you feel closer to the culture and to the people here.  It helps the adjustment.  I think as I continue to learn the language at home it will learn faster and be more comfortable because I'll be more excited.  And I think I will start talking with Spanish speakers back home.