"Somos un pueblo burlón..." a friend of mine once posted. "We are a mocking people." In general, people on this island like to laugh. There's even a popular Christmas-time song-game to make extemporaneous, limierick-like jokes.
Things that are rude to joke about in US polite society are fair game here: age, weight, skin color and other ethnic traits, accent/ability in Spanish or English, personal attributes... Comedy shows rely much more on exaggerated, clown-like personalities. Little accidents also tend to provoke giggles. But all of this is not meant maliciously nor directed at absent third parties, as it can be in the rest of the US. In fact, if a joke can be construed as malicious toward the hearers or a "falta de respeto," then the situation can rapidly deteriorate. Be careful with subtle self-deprecating jokes, as people may get angry if they can't tell if they are the target or not.
Bottom line: if one is sensitive, proud (Puerto Ricans hate arrogance), or hateful toward another person or group, one may have a difficult time here.
Things I've not really heard joked about here: religion or gender. Politics a little, but this, as in the rest of the US, is dangerous ground.