I remember the Billy Connolly one about the beheaded hostage, I can understand that kind of joke. It is kind of what allows jokes about death, and with double the power. Jokes about death work because death is so absurd that sometimes a joke is the only way to really deal with it. It is a good thing that we can laugh at death (unless you're an A and E doctor, you may lose your job). Similarly, with the beheading: it is just as absurd. You take someone who has nothing against you, and who has done nothing to you, and cut his head off in front of a camera cos you think god wants you to do that. To retain faith in the idea that the world is not full of people like that, and to digest the utter tragedy of it.........I can see where the joke is made.
If it happened to me (something similar nearly did), I would certainly want Connolly making a joke of it. Life is much bigger than the events and people that comprise it. This is why we can joke.
Similary: jokes about paedophilia. It is even more important here. Everyone knows of the sad nutters that are into this kind of thing, but there are plenty of people who are their victims who must try somehow to get on with their lives after some difficult set of circumstances. As such, you perception of life and of people must rise above the definition that an abuse event tries to force on you. Making jokes is a way of doing this. The comedian is not condoning paedophiles, nor ignoring the seriousness of the act or its consequences. He's just saying: we are all bigger than this. We overcome the world, not vice versa.