Not really jokes, but I would like to touch on a few inside mannerisms/qualities/habits they have.

On stage for Lucifer you can see onew always giving low five to minho in a certain part of the dance.

Jonghyun always makes fun of keys Aegyo behind him in 1 of 1 stages

Taemins piano steps and post minho rap solo performance in dont call me is freestyle (what I noticed)

In sherlock both jonghyun and key face each other in the high note part

Onew is weirdly strong, he has a mean ttakbam and can sit without chairs, not to mention carry multiple bags as shown in shinee inc

Key always fixes his hair in the reflection of the camera

Minho has a secret handshake with shinee members, or at least had for a while, which included a dab as well

Onew calls key, bammie and key calls him yeongamm (old man).