One of the biggest reasons an audience isn't laughing (or why a reader stops reading) is that they have unanswered questions.

Let's say you mention something in passing, especially something really loaded like a previous marriage, a recent breakup, or the time you spent in prison.

You may have moved on to another topic, but the audience/reader is still thinking about the door you cracked open but didn't walk through. What were you in prison for? How many marriages have you had? Why did you break up? Are you heartbroken?

Mentioning something that emotionally-loaded is like putting a gun onstage. The audience keeps wondering if and when it's going to go off.