Many people have trouble remembering things sometimes, so it's nothing to be embarrassed about.
Unfortunately, I invariable have to explain the theory before I can tell the joke, during which people's eyes glaze over or sometimes they struggle wildly to escape. That's why you should always grab someone by the arm when you're about to tell them a joke. The best tip to avoid forgetting things is to just write them down. Not that everything is worth remembering, obviously. Picture a group of people going through slow-motion kicks and punches while holding a glass of microbrew.