If you say something dryly, you say it in a funny but matter-of-fact way. Your friend's dryly humorous comments might be your favorite thing about watching soap operas with him.
People who joke or remark dryly have a straight-faced delivery, even as they are saying the funniest things. You could also describe a black comedy as being dryly funny, or a character in a book as narrating dryly. The adverb dryly comes from dry, which more commonly means "not wet" than "subtly humorous" — although the humor meaning dates from the early 15th century.