Hendrix had one. After his first song, he was tuning up while he was chatting with the audience. Then he asked them, "Is it too loud out there?" There was a big cry of, "NO!!!"
Funny Musicians On Stage

Hendrix had another. Someone yelled for Foxey Lady. He said, "Aww, man. All you guys want to hear that old shit."

At the Monterey show, he's introducting Like A Rolling Stone, & said it was written by Bob Dylan--that's his grandma over there. Giggle.

Lemmy again. On "Everything Louder Than Everything Else", he said, "This next one is a new song that we have never played in Finland before. Isn't that exciting? Yes it is!!" (No real cheering from the crowd) "Well, whatever. We're gonna play it anyway. It's called, "Just Cause You Got The Power, That Don't Mean You Got The Right.""

Metallica just got through playing "Kill 'Em All" in its entirety, then James told the crowd, "Coming up next: Reload." Giggle.

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I'll start this off with one from Lemmy of Motörhead.
He was introducing a song when he said, "This next one was a big hit for us. I have 10,000 copies in my house. Ha ha ha. It's called Killed By Death."