The age and particular temperment of the child/children you play with will be a key piece in how they react to you. Not for this reason alone, GdD makes a fabulous point about letting the kids take the lead, but there might be a few helpful things to know too. First, I imagining you are talking about kid kids - like 2-9 or so, if that is the case, they love the unexpected and the silly (and sometimes the gross). Some kids also need warm up time, so except for with your kids, consider taking it slow. What you do to make one kid laugh might totally freak another one out. Don't take it to heart.
The funny thing is, we all have an age group we have a "knack" with. I'm generally pretty good with kids of any age (I'm one of those "knack" people). However, I am most talented with relating to middle school kids. I can jump in and understand them in ways other adults simply can't - even other adults that also have a "knack" for kids in general. I can even make jokes that ARE NOT sexual and get them laughing and hooting and believe me THAT is an accomplishment. However, my husband can make ANY 8 year old giggle till their eyes water - I'll use exactly the same jokes but some how, coming from me the kids just titter a little. Coming from him the jokes are more effective.
With your own kids, just listen. Figure out what they are passionate about and let them talk about it (yes, until your ears fall off) and then it won't matter to them if you are or are not the funniest/funnest guy on the block.
For the others - read Shel Silverstien (ien/ein - not sure) you'll learn a lot. You could also check out my blog article about being the coolest parent in town, it has a few "habits" and how to instill them including the habit "Be silly" and some ideas for you.