Groucho Marx's observation that he wouldn't belong to any club that would have him as a member has slowly been robbed of its stinging subtext of Jewish self-loathing and has become cultural shorthand for more universal self-loathing. Jon's dilemma today probably has more resonance for the post-Baby Boomer generation, with our special blend of ironic/neurotic whine, but I suspect it's a fear that always lives in humanity and emerges most fiercely in those eras when we don't have better things to worry about. In short, it's nice when someone likes you, but only until you can't help but wonder if that means they're screwed up. Groucho's line has a lot to do with his comic persona as a letch, rascal and ne'er-do-well, the character reveling in the contradiction he has willfully caused. The Gen X neurosis is fueled by genuine self-esteem problems and existential confusion. This is why Kurt Cobain shot himself.
Jon Arbuckle does not hate himself, and is in a third, slightly different position: he has plenty of objective data that he doesn't have any friends, and the few creatures who sort-of like him certainly don't appreciate his sense of humor. The method by which the crestfallen Jon of panel 3 might be cheered-up is practical application of Liz's sense of humor. He doesn't suggest that Liz was faking her laughter, just that she was entertained by a man of his meager comedy skills (if it makes you snicker to think this is some kind of coded sex-talk, feel free). If you share the same lame sense of humor, does it matter if you know it's lame? A lot of good, normal couples are united by a mutual bad taste. That taste is frequently in each other. Jon's got nothing to worry about. I mean, except that he runs home and reports to his cat after every date.