Sometimes, if they're funny (a lot of them aren't very funny tbh).
But if there's a fat person in the room who's insecure about it I won't laugh even if it's a genuinely funny joke because I don't want to hurt their feelings. However, luckily most fat guys I know are fine making jokes about it and often joke about it themselves. It's mostly (not only, and not all) girls who are sensitive about it I've noticed.
What annoys me most is when celebs like Lily Allen say they're fat when they're not in hope of getting sympathy from the public.