I saw this today and thought it was a good, quick example of how to deliver a joke. He is very clearly seducing the room, which is essentially what all charismatic speakers do. Notice how he let's the joke land: it takes half a second to a second for it to sink-in and the audience starts to laugh. He doesn't panic though; he knew he had them the whole time. He lets it marinate a few seconds, clearly amused with himself. Seductive smirk at :25 seconds. After that, it's more of the same--seductive smirking, marinatin', and space--but he really drags it out nicely because he knows he's got us.

To sum up, use silence to your advantage, be confidence, smirk, and don't be afraid to drag that shit out.

(Tangent: the last point is especially important if you're teasing/flirting with a girl. To some, it might feel like you want to immediately break this tension, but that's actually what you're looking for. Once you find it, as always, you have to escalate.)