Okay, just to clear some stuff up...
-Why is the joke offensive?
Whether you agree with me or not, the joke is in bad taste because it's saying that sleeping with a pre op transsexual makes you gay, the implication (intentional or not) being that pre op transsexuals are men.
-Why don't you care about the jokes about jews and nazis, or any other group?
Because transsexuals are THE MOST at risk minority group for suicide, bullying, and a range of other really bad things. The transsexual youth suicide rate is around 25% at last counting, and by age 20, 50% of transsexual people will have made at least one suicide attempt. In the US, the it's estimated that 20-40% of the homeless youth are LGBT people (after parental rejection) with a particularly high percentage of those lgbt people being trans people. The Jewish population no longer suffers from such a high death rate, which makes the trans joke worse, but in reality, jokes about the holocaust arn't really okay either. Just this is MORE not okay.
-Nothing should be above ridiculue! Get a sense of humour!
It's not about being above ridicule, or being too precious to laugh at a joke at your own expense. The fact is that suicide rates, homelessness, etc etc are hugely influenced by rejection (by parents and society) and jokes of this kind popularise misconceptions about trans people, and create a social zeitgeist where trans people are freaks, to be shunned and rejected. This continues to drive up the suicide rates and the numbers of trans people being kicked out of their homes by their own parents for coming out. It's not about whether an individual person is offended, it's about the message that it sends to society as a whole. In hundreds of years time it may be okay to make such jokes, when it's 100% accepted that trans people arn't freaks and that these misconceptions no longer exist, in the same way that it's okay (though still maybe in bad taste) to make jokes about how left handed people were once burned as witches.
And this will be the last zero punctuation I ever watch. There's a difference between risqué humour, and promoting misconceptions that can harm a group that is killing itself left right and center. And before you say that things like that don't make a difference, just look at silence of the lambs. That movie on it's own set public perception of trans people back by 10 years, just because it promoted a misconception about trans people.