What is the joke that Alfred knows in Batman Begins?

Andrew Martin's answer

It's not a reference to a specific joke, but rather a witty line by Bruce Wayne to effectively ask his butler to entertain all the guests in his absence.

is not entirely correct. It was actually a light ribbing of Alfred to indicate he needs a better sense of humor. "Tell them all that joke you know" is meant to indicate that Alfred knows a joke. A single joke. It is actually unknown if he knows any jokes at all, but even if he did, I believe that information would be irrelevant to the point Bruce Wayne was making and the laugh it was supposed to elicit from the audience.

The scene in question proceeds like this (from the script):

Wayne hurries through the hall. Alfred in pursuit. Tables of food and decoration fill the hall.

ALFRED: But Master Wayne, the guests will be arriving.

Wayne turns.

WAYNE: Keep them happy until I arrive. Tell them that joke you know.

Wayne hurries off. Alfred watches him go, exasperated.

It's not a reference to a specific joke, but rather a witty line by Bruce Wayne to effectively ask his butler to entertain all the guests in his absence. There's no interviews I've come across which suggest Christopher Nolan intended it to have any greater meaning than this.

Nevertheless, this question has been asked over at the Nolan Fans website and, although coming to the same conclusion, the fans came up with a few possible jokes of their own. They're fairly terrible, which makes them quite funny. Since I'm sorry to answer this question in the negative, I'll include one to brighten your day! Here goes:

Why didn't Batman go fishing today? Because Robin ate the worms!