I'm in a really bad place right now...
I'm in a really bad place right now.... Not mentally, I've just found myself in ****ing Utah. This is an insult, a pun, a joke with a swear word in it, and also a joke with an unexpected ending. The insult is obvious - the jokester doesn't like Utah. Insults are humorous, so that contributes to the humor. Swear words are also considered humorous, and so that would also contribute to the humor. Finally, the setup gets you thinking about mental health, and the unexpected ending of the joke makes you realize that the phrase "in a bad place" (which is usually used to indicate that the person is feeling severely depressed) actually was being used literally, and is therefore a pun.