Okay, so it's pretty much unanimous that the anecdote was unfunny, though I personally was not offended (not to try and one-up PL, but I have several gay friends, in fact). I was more befuddled by the "joke's" seeming lack of logic and, most importantly, lack of any real punchline. Awkward situations with implied outcomes do not make good humor.
For example, the event after the naked friend leaves is left up in the air. For all we know, the father is extremely proud of his son for finally having had sex, regardless of the gender of the significant other. For all we know, the narrator and his friend actually are gay, though not neccesarily with each other (although the final line might suggest otherwise).
See, this is situational comedy, a form of humor which does not lend itself well to closed, non-visual scenarios (in other words, it's sitcom-style humor poorly horseshoed into the context of a joke). Of course, there is always the possibility that the original author intended for the reader to think about all this, to challenge the reader's traditional concept of what a joke actually is, similar to the old chicken/road joke, in which the punchline (the chicken reaching its destination) is the real-life consequence of the action the chicken takes (crossing the road), subverting the reader's expectation of a more fantastic, "joke-like", outcome.