I thought swimming with dolphins was expensive.

This joke gets its bite from a clever bit of wordplay, specifically a pun. The setup establishes a common scenario: the often high price tag associated with unique experiences like swimming with friendly dolphins. This sets up an expectation of financial cost. The punchline then takes a common idiom, "cost an arm and a leg," which usually means something is extremely expensive, and twists it into a literal, darkly humorous outcome when applied to swimming with sharks.

The humor mechanism hinges on this unexpected literal interpretation. While swimming with dolphins is indeed often a costly, sought-after experience, swimming with sharks carries a far more dire and physical risk. The joke playfully contrasts the monetary expense of one activity with the potential bodily cost of the other, highlighting the dangerous reputation of sharks. It's a classic example of a pun that makes you groan and chuckle at the same time, playing on our understanding of common phrases and the natural world.