I'd say Gallant Ted is pretty close on the distinction between wry and dry humor, but, being merely a teddy bear, I can understand Ted's missing the delicate sense of dry humor. I would say that a dry humor could easily be mistaken for a lack of a sense of humor. A wry sense of humor would leave the hearer thinking 'that was pretty funny but I don't quite know why,' whereas a dry humor would be caught only somewhat later.