A horse walks into a bar...
A horse walks into a bar. The bar tender says "Hey." The horse says "Sure."
This is a "walks into a bar" joke, and also a pun.
The humor lies in the fact that the word "Hey" sounds exactly like "Hay?". The reason why the bartender said Hey is likely to get the horses attention, however the horse thought that he was asking the horse if he wanted any hay to eat.