My favourite is when I'm asked if I'm Canadian, I reply in my thickest accent "I don't nooo what uur talkin' aboot, eh? I'm a United States-ian just like you."
I also tell my American friends that when I'm overseas and things go well, I act like a normal Canadian. If things go poorly, I yell loudly "I'M AN AMERICAN! YOU CAN'T DO THAT TO ME!" It's turnabout for wearing fraudulent Canadian flags on backpacks, etc.
When I lived in NY state I'd act completely innocent before every holiday. "Thanksgiving?!? That was last month." "Why, what happens on the 4th?" etc.
But one time it turned serious. A group of us were returning to work after lunch, and we all took a shortcut through a construction zone (to save a 10-minute walk). My American co-workers started talking about how the company might be open to liabilities because they hadn't properly secured the construction zone. I said "Back in Canada, we worry somebody might get hurt." I meant to just be kidding them about the overuse of litigation and the different health care systems, but they didn't catch on. They just shut up and actually felt pretty sheepish. I hadn't meant to act mean. Well, maybe just a little.
And my favourite cross-border political joke: "In America, you can never tell if a politician is lying to you. In Canada, we know."