The shaggy dog story involves telling an extremely long joke with an intricate (and sometimes horribly grisly) back story and surreal or repetitive plotline, before ending the story with either a weak spoonerism, or abruptly stopping with no real punchline at all.
Another type of anti-joke gives a suggestion of building to a (typically risqué) punchline, but breaks the audience's anticipation by swerving to a non-risqué punchline or no punchline at all: "Did you hear about the honeymooners who confused the tube of K-Y Jelly with window putty?