Three of my favorites. Found in this great Straight Dope thread on Russian / Soviet jokes:

http://boards.straightdope.com/sdmb/archive/index.php/t-3611...

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Stalin was having a cabinet meeting and he was going over the minutes when someone gave a loud sneeze.

Instantly, he looked, up, frowning, and said, very deeply,
"WHO SNEEZED?"

No one would raise their hand. So Stalin motioned to the KGB officers and had all of the first row taken out and shot.

Again, Stalin looked up and said, "WHO SNEEZED?"

Again, no one answers, so, Stalin has the KGB take the second row out to be shot.

And then, Stalin looks up and says, "WHO SNEEZED?"

And again, no one answers, so the KGB takes the third row out and has them shot.

Now, Stalin's pissed. "WHO SNEEZED!"

By now, the sneezer is all sweating and nervous and leaps out of his seat yelling, "I sneezed, Comrade Stalin! I sneezed!"

And Stalin nods, and says, "God Bless You, now continue with meeting."

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An Englishman, a Frenchman, and a Russian were once discussing the meaning of true happiness.

The Englishman said, "True happiness, my friends, is rising early on a frosty fall morning, getting on top of a good horse, and galloping off behind the hounds in pursuit of the fox. A hard ride over fields and fences and rivulets until the fox is brought down. A ride back with the ears and the tail and then sitting before a roaring fire with a glass of good port. Ah, that is true happiness."

The Frenchman said, "That is not true happiness. That is merely animal pleasure. True happiness is meeting with the love of your life, having an excellent meal in a topnotch restaurant with champagne, and then retiring to a wonderful hotel room, where you can make frantic and impassioned love all night long. Ah, that is true happiness.

The Russian said, "That is not true happiness. That is merely a good time. True happiness comes when you are sitting in your apartment after a hard day at the factory, your little Ivan on your knee, and reading your copy of Pravda. There comes a knock at the door. Three men in ill-fitting brown suits come storming in and say 'Stepan Stepanovich,' and you say, 'He lives in the rooms upstairs.' Ah, that is true happiness!"

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There was a long queue of people waiting for the butcher shop to open. A Russian official comes by and says, "Are there any Jews in this queue?" Some people reluctantly nodded their heads. The official says, "There is not enough meat. All Jews have to leave. There will be no meat for them today!" And all the Jews leave the queue. The official leaves.

Two hours pass, and the shop isn't open yet. The official returns and says, "Are there any who are not members of the Communist Party in this queue?" Some people nodded their heads. The official says, "There is not enough meat. All those who are not members of the Communist Party have to leave. There will be no meat for them today!" And all the non-Party members leave the queue. The official leaves.

Two more hours pass, and the shop still isn't open. The official returns and says, "Comrades, I'm sorry, but there will be no meat today." One of the people says, "I should have known. The Jews ALWAYS get the best deal!"