Dolphins seem to be quite fond of sexual stimulation. I think they're very happy to rub their penises up against just about anything. Realistically, any animal that finds sex pleasurable might be inclined to pleasure themselves in ways that offend human sensibilities. They might often lack opportunity, though, because they're often too busy finding food or trying to avoid a violent death.
Lots of animals have a sense of fun, and apparently do some things for play just to enjoy themselves. Crows, of course, have a reputation as being quite clever (including problem solving and tool use): I don't know how likely it would be for a crow think of that itself from nowhere, but if it's ever watched a human sleighing, it might copy the idea.
If you want to see a bird that seems to have a good sense of humour and play a lot, check out the kea (a New Zealand parrot). They seem quite fun - although they also tend to pull apart and wreck things (like stripping the rubber seals of car windows, etc.).