I was at the library...

I was at the library and asked if they have any books on "paranoia", the librarian replied, "yes, they are right behind you"

This is a joke making fun of people with paranoid schizophrenia, which (according to common wisdom) often believe that they are being followed by people. The assumption here is that the jokester is supposed to be shocked that the books are right behind him/her because she/he is paranoid.