When you are lauging and in a good mood it puts you off guard and at ease. The same works with beautiful women.
Humour is an invaluable tool to use in getting women, since it drops their guard and puts them in a favourable mood. When you can get a woman laughing it shows you are comfortable with who you are and you are confident.
You want to show her that you are a cool, fun, interesting, funny and attractive guy, and not some loser that has to succeed or is going to bed alone.
When you get her laughing with you (never at you) it gives her the opportunity to have some fun too!
Another great tool with humour, is the fact that you can sift through the mean women and go after the women that laugh with you and have an actual personality, and not some stuck up ego you want nothing to do with!
Just remember when using humour with women, be friendly, up to date and don't talk about the stuff you talk about with your buddies. Don't be scared to use sexual innuendo or jokes.. but don't talk about guy stuff whatever you do!