I learned this on a conscious level today. Never EVER "set up" a girl for a joke. Do not create an opening where it is easy, or even slightly obvious, for a joke to be inserted by the girl
Most girls are not funny and guys (like myself) cannot very well pretend to think something is funny that is not. And when you do, you only encourage the girl to try to make more jokes, which will inevitably backfire horribly unless you interject before then. But the point is that you set her and yourself up for embarassment
I didn't learn this the "hard way" today but there was a situation where I was getting along I thought pretty well with a girl and I realized what was becoming of the situation, in a moment of great inspiration. And then I realized, that in the past, I have helped create some embarassing situations for girls and myself by not doing more to avoid those kinds of situations and by directing the conversation more myself
^Which is a more general theme of all this: It is good for the guy to more often than not direct the conversation and really give it some shape