You may go as far as putting on an angry face if that s how you feel. You could choose to educate them by explaining the differences outlined above between inclusive and exclusive humor. This will permit them a face-saving response. Any of these responses could be done privately or in a group. The peer pressure of a group would have a stronger impact on the person and let others know how you feel about offensive humor at the same time.
Most people offend others and tell poor jokes out of ignorance.
We all have different tastes in humor like we do with food. What is offensive to some is funny to others. In certain professions there is Gallows humor and others types that the general public would not understand, but really serves a healthy purpose as a coping mechanism for stressful and dire work.