My favorite movie is about a tornado in a wheat field.

This joke whips up its humor through a clever bit of wordplay, specifically a pun that plays on multiple meanings of words. The key lies in the word "plot" and the common phrase "all over the place." In the context of movies, a "plot" refers to the storyline or narrative, and if it's described as "all over the place," it means the story is disorganized, confusing, or lacks a clear direction, which is generally not a good thing for a film.

However, "plot" also refers to a piece of land, often an agricultural field like the wheat field mentioned in the setup. And what does a tornado do when it moves through such a field? Its destructive path is quite literally "all over the place," leaving a chaotic scene behind. The joke brilliantly takes this literal description of a natural disaster's movement and applies it as a critical assessment of a movie's narrative, creating a funny and unexpected connection between a meteorological event and cinematic storytelling.