This probably doesn't quite meet the definition of a sick joke but it's close enough for me to get a laugh.

Jake was dying. His wife sat at the bedside.

He looked up and said weakly: "I have something I must confess."

"There's no need to, " his wife replied.

"No," he insisted, "I want to die in peace. I slept with your sister, your best friend, her best friend, and your mother!"

"I know," she replied, "now just rest and let the poison work."