What did the fish say when it swam into the wall?

Q: What did the fish say when it swam into the wall?
A: Dam!

This is a talking animal joke, and also a pun. The critical element in this joke is the word dam, which sounds exactly like the word damn.

Damn is often used as an exclamation indicating anger, so if the fish unintentionally swam into the wall it might exclaim damn.

A dam is a wall used to hold back water, so any wall in the water might very well be a dam.

This is a pretty weak joke, however because no-one would say "wall!" if they bumped into a wall. That's just stupid.