Laughing in a Foreign Language, Hayward Gallery, London

When you're outside it, the joke is no laughing matter: Humour is lost in translation at this show: for gags, stick to 'The Simpsons'

As instructed by its label, I press the button on Doug Fishbone's Joke Master Jr. 2. After a second's pause, an American voice – much, much too loud – growls, "How do you get your wife to scream for an hour after sex?" There is no way of stopping the thing: the two other people in the room, tiny and Japanese, turn to look at me. "Wipe your dick on the curtains!" hollers Fishbone's scabrous clown. I smile weakly and make a show of scribbling notes on my pad. The couple, expressionless, leave.

You may ask what all this has to do with art, and the answer, strangely, is everything. Fishbone's work is not in a Soho joke shop but on a wall in the Hayward Gallery, part of a show called Laughing in a Foreign Language. The point of this is to ask "if humour can only be appreciated by people with similar cultural, political or historical backgrounds". Another question might be whether we all register amusement in the same way. Perhaps the Japanese are laughing on the inside, though I think not.

Which makes the Hayward's point nicely. We live in global times, and art, people and humour move about: they have, if you like, become commodities in world trade. This alone makes for a theatre of the absurd. Once, comedy was a local affair. Now, we can fail to laugh at Japanese comics; the Japanese can misunderstand American sex jokes and we can all scratch our heads at Olm unterwegs. The more jokes are translated, the more they get lost it translation. You gotta laugh, aintcha?

Well, no. There's nothing like not getting a joke to make you feel alienated, and alienation is the punch-line to much of the work in Laughing in a Foreign Language. Peter Land, a Dane, stages performances in which he carries suitcases blazoned with slogans proclaiming his foreignness through the streets of American cities. These slogans become the title of his subsequent photographs: thus, for example, Hi, I'm new around here, so please don't rob me, mug me or kill me. Could you please direct me to a cheap hotel?

The joke is on Land, and yet he is the one who tells it. To understand why Hi etc is funny, we have to understand the risks attendant on its telling: that someone, possibly carrying a gun, might not get Land's sense of humour and rob, mug or kill him. And this recognition that jokes are actually rather dangerous things – that they call for a global understanding that can't possibly exist – is at the heart of most of the work in the Hayward's show.

If you're planning a trip to the South Bank in search of a good belly laugh, in other words, you might be better off staying in and watching The Simpsons. Kutlug Ataman's Turkish Delight may have its share of belly, but the laughter it provokes is hugely uncomfortable.

In the video, Ataman, dressed as a woman, does a belly dance in a sequinned bikini. Men in drag are a commonplace of comedy, and yet something in Ataman's performance – he put on 20kg for the role – stops you from tittering. A gay man and a Turk, the artist is doubly used to being taken for an exotic. The story his film tells isn't one of laughing with but of being laughed at; and, however unwillingly, we are made complicit in that laughter. For all his sequins and gyrations, it is Ataman who has the last laugh.

This question – who, precisely, is laughing at whom? – is also asked by Candice Breitz's wonderful video Aiwa to Zen. Breitz gets a group of Tokyo friends to act out a drama based on her own tiny Japanese vocabulary. As with most Westerners, this consists largely of brand names and items from takeaway menus, travelogues and war comics. Thus a man in a suit nods sagely and says "Suzuki origami mitsubishi osaka" while a woman in a pink rabbit costume intones "Wasabe samsung mishima".

The odd thing is that Aiwa to Zen seems completely explicable in its inexplicability; which is to say, it seems Japanese, and so by definition beyond comprehending. That it is actually the cod-Japanese creation of a South African artist who lives and works in Berlin brings us up short. The actors are quietly playing up to their understanding of our understanding of them, a piece of politesse that makes you blush. And so it should. As with life in this new, global world, the joke is on us.

Hayward Gallery, London SE1 (0871-663 2519) to 13 April