Q: Where should a 500 pound alien go?

Q: Where should a 500 pound alien go?
A: On a diet

This is a traditional Q and A style riddle. The listener was expecting a location to be the answer to the riddle, but the real answer was "on a diet". To "go on a diet" is to not eat certain things usually for the purpose of losing weight. If 300lbs was an unusually high weight for an alien, then that might be good advice - even if a diet is not a location.

So, this joke is funny because the answer is wrong in a surprising way.