Okay, it's not. At all. But many people take it very seriously. However, peering through the origins of the setting (the original Rogue Trader book), you can see that the whole thing is a parody - the seriousness is there to make it even more ridiculous.
So, some of the best opportunities for gleaning humour from the setting come from taking potentially very serious situation and milking them into broad, farcical comedy. One of my personal favourites is playing Guardsmen. As the ultra-disposable front-line soldiers of the Imperium, you are expected to die - either at the hands of the enemy (and they are legion - Ork, Necrons, Chaos, Eldar, Tau, everything wants to kill you), or at the hands of your superiors - the Commissariat.
Trained to keep men's morale when any sane man would break down in tears, they go by the simple maxim - "To make men face something terrifying, make sure there's something even worse behind them". You might survive an encounter with Orks, through superior firepower and tactical planning - death is not guaranteed on the battlefield. But if you even think about breaking the line, the Commissar will kill you. No doubts, no maybes - you're a dead man.
But, picture the scene.
Commissar Dan was in a terrible mood. His men had been underperforming on the field, regardless of how many of them he shot. At least they had stopped trying to run back from the front-line - now he just had to catch them sneaking off at the sides.
And, to make matters worse, he had received an Astropathic transmission the night before - the psyker had fallen into a trance, and began drawing, scribbling wildly without looking at the page. Within half an hour, the automatic writing was complete - a huge, stylised letter "I", with the sigil of the Aquila, and the words "EXPECT US".
With the Inquisition breathing down his neck, he needed to get the men on top form. He began hollering at the top of his lungs, to be better heard over the constant rattle of the live-fire exercise his men performed.
"YOU WORTHLESS WASTES OF SKIN! THE EMPEROR SHEDS A TEAR ON HIS THRONE LOOKING AT HOW PATHETIC YOU ALL ARE! YOU OUGH-"
Private Lanacea heard the Commissar's shouts cut short, and felt an odd, cold splatter against the back of his helmet. He spun around, and spied two very concerning things.
First was Commissar Dan - lying on the sand, leaking blood and brain matter. His hat had been rather forcibly separated from his head by the force of the gunshot that removed part of his skull.
Behind him, surrounded by men gawping at him, was Private Vannis. The only words he could mouth was "ohshitohshitohshitohshitohshitohshit".
As they stood, gawping at the mistake that had been made, the vox blared to life.
++This is Inquisitor Leambas. We will be making planetfall within the hour++
This could be a great setup for a Black Crusade game, exploring the dark side of men desperate to avoid punishment, and the lengths they might go to to avoid certain death.
On the other hand, play it with Risus, have one of the PCs dress up like the Commissar, invite the Inquisitor to dinner while accidentally killing off more of the NPCs, and generally make a general comedy of errors of the whole thing!