Have you ever had the " that's what she said!" Said while you commented on something? Well sometimes jokes like that aren't funny, and are taken too far. WAY to far.
I've used sexuality in jokes, actually I use it whenever I have the opportunity, but I've never come across "that's what she said". That's just fucking lame
Myself, I don't like sexual jokes. I can see the humor behind some of them, but it's just not my cup of cakes, and I guess it's my moral upbringing. But if you're making a fuss about it and play a prude everytime someone makes a joke like this, of course, they think it's funny to see your reaction. Some of my colleagues tried to do this to me, but since I'm shrugging them off, they stopped to do it. But it's a difference between occasional sexual jokes and outright harassement like the one you told about further in the tread. To be threatened with rape is not fun, it's harassement. Better find some other friends then.