I suggest adding a comma after "stupid."

I suggest not following this suggestion.

I suggest that I am right and you are wrong. Now, I'm going to bore you with an explanation about why I'm right.

"There's one thing I do that's kind of a personal thing.   I tell jokes sometimes which are corny, which are downright stupid and bomb.  That, to me, is funny when no one laughs."

"which are downright stupid " is a nonrestrictive or parenthetical element, because the sentence still makes sense without it.

"I tell jokes sometimes which are corny and bomb."

Nonrestrictive or parenthetical elements are set apart by commas.

"I tell jokes sometimes which are corny, which are downright stupid, and bomb."

If you leave out the second comma, as you suggest, the word "and" joins "stupid" and "bomb." This is incorrect, because "bomb" is not an adjective modifying "jokes."

"I tell jokes sometimes which are corny, which are downright bomb."

Finally, if you look at the liner notes of the Concert/Live In London twofer, you will see the correct punctuation on page 11 in the "Wake The World" notes. Here's the full quote:

"Trying to draw a bridge between the music and the audience and make it interesting is something that I've always been interested in doing.... There's one thing I do that's kind of a personal thing -- I tell jokes sometimes which are corny, which are outright stupid, and bomb. That, to me, is funny when nobody laughs."

So if Uncomfortable Seat wants the quote to be correct, the first period should be replaced by a dash, a comma should be added after "stupid," "downright" should be changed to "outright," and "no one" should be replaced by "nobody."

I suggest adding a comma after "stupid."