I was raised mormon....but have always been able to laugh at mormon jokes. The same for any other joke really.
The only jokes that really aren't funny in my opinion are those that are msking light of what is morally wrong, like joking about a clear sin like adultery. I really have no appreciation for jokes that make men look dumb (or women either for that matter)
Blonde jokes are another matter....and sometimes really funny! (especially once you know someone like the blonde in the jokes Lol)
I think it is very good to be sensitive to real people that we know and keep the golden rule in mind. Making fun of political figures, or other public figures like preachers, is different though, and is just communicating opinions. We don't want to force everyone into agreeing that the emperor's new clothes are beautiful out of an extreme politeness.....even when the emperor is not within hearing, but we don't want to hurt our friends.