A private joke marks a small border around a shared history.

A private joke draws a line around a shared past. It is funny because of everything behind it, and the laughter is really a signal that a history exists and both of you have it. The content is almost irrelevant; the marking is the point.

These are worth building deliberately in relationships you want to last, and they mostly build themselves if you spend enough unstructured time together. Also worth noticing: when you use one in a mixed group, you are drawing the line publicly. That is fine occasionally and it does mean somebody in the room has just been shown they are outside it.