I heard this:
Alvy Singer: [narrating] After that it got pretty late, and we both had to go, but it was great seeing Annie again. I… I realized what a terrific person she was, and… and how much fun it was just knowing her; and I… I, I thought of that old joke, y’know, the, this… this guy goes to a psychiatrist and says, “Doc, uh, my brother’s crazy; he thinks he’s a chicken.” And, uh, the doctor says, “Well, why don’t you turn him in?” The guy says, “I would, but I need the eggs.” Well, I guess that’s pretty much now how I feel about relationships; y’know, they’re totally irrational, and crazy, and absurd, and… but, uh, I guess we keep goin’ through it because, uh, most of us… need the eggs.
The gag at the end isn’t the truth, the truth is in the first fragment. Don’t watch the hand he’s pointing with, watch the one behind his back.