If you are gullible, the joke is on you because you are easily fooled.
It is thought that gullible might be derived from the verb gull, meaning "to swallow." This would be a funny coincidence as gullible describes an overly trusting person who tends to swallow the stories he hears whole. The related word, gull, can be used as a noun "don't be such a gull!" or as a verb "you can't gull me into believing that!"