1 {scene: The prison cell in Berlin.}
1 Erwin: {from outside the cell bars} I have good news und bad news.
1 Monty: Give us the bad news first.
2 Erwin: Die Führer has decided you will be shot at dawn tomorrow.
2 Monty: What?! What's the good news?
3 Erwin: Die Führer has decided you will not be shot next week.
4 Minnesota Jones: That would have worked better the other way around.
4 Prof. Jones: Yes. Trust Junior to ruin a good laugh.

I never know whether to ask for the good news or the bad news first.

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2015-10-23 Rerun commentary: There are different jokes that that make use of both orderings. Good news first:

Doctor: I have some good news and some bad news.
Patient: Oh my... Give me the good news first.
Doctor: You have 24 hours to live.
Patient: How is that good news?! What's the bad news, then?
Doctor: I've been trying to call you since yesterday.

And bad news first:

Doctor: I have some good news and some bad news.
Patient: Oh my... Give me the bad news first.
Doctor: We're going to have to amputate both your legs.
Patient: What?! Well, what's the good news?
Doctor: The guy in the next bed wants to buy your shoes.

What this means is, if anyone ever tells you that they have both good news and bad news, then you have a serious dilemma, because it's impossible to know which to ask for first in order to maximise the humour.