This article is from the Puzzles FAQ, by Chris Cole email@example.com and Matthew Daly firstname.lastname@example.org with numerous contributions by others.
A man walks into a bar, asks for a drink, the bartender points a gun at
him, the man says "thank you" and leaves.
The essence of these puzzles is that one person in a group answers a
series of yes/no questions and the other people in the group attempt to
piece together the circumstance that would lead to the posed situation.
Over the years, rec.puzzles has referred to these as "situation puzzles",
although a suite of books by Paul Sloane has made the term "lateral
thinking puzzles" more commonplace.
Because very few of the lateral thinking puzzles posted to rec.puzzles are
original and the structure of Usenet is not conducive to posting and
answering yes/no questions, moderating contests of this sort in
rec.puzzles is a bad idea. Fortunately, Sloane manages a very popular
website where several original puzzles are moderated at a time, at
http://www.lateralpuzzles.com. There is also a very complete list of
puzzles kept by Jed Hartman at http://kith.org/logos/things/sitpuz/.
The answer to the puzzle given above is that the man had the hiccups,
intended to cure them by drinking a glass of water with his nose plugged,
and was glad that the bartender scared him enough to cure him.