Three men are sent to hell...
Three men are sent to hell...The devil greets them and gives the three men a chance to go to heaven instead. Knowing no-one has ever won the bet, he tells the three men, "if you can bring me something which I cannot melt with my bare hands of flame and torture, you are free to go to heaven."
A few hours later, the first man arrives with a sturdy rock. The devil smiles slyly, grabs the rock in his hands, and melts it into molten magma.
The second man appears with a large chunk or carbonized steel. The devil grabs it and instantly melts it down into hot liquid metal.
The third man only gives him three M&M candies. The devil laughs, grabs the candy and turns his hands into flames. Hotter and hotter the hands grow, but the devil notices that he just can't melt down the M 'n M's. He gives up, shocked, and says, "How in the hell! This has never happened before."
To which the third man replied "M&M's, melt in your mouth, not your hands."
This is a bit of a shaggy dog story - the set up is pretty long, and the punchline is not that good.
The humor lies in the fact that the person responds to the devil's query with a common phrase that is used to advertise M&Ms candies. Apparently in this universe the truth in advertising laws are so strict that they apply to the hands of Satan himself.