I heard one pretty similar to that one before.
A man dies and goes to heaven. As Jesus takes him around he sees people of all faiths integrated and taking part in just about every fun activity you could imagine. Then they come across a big yellow and back striped door with a sign in big red letters saying "QUIET ZONE! DO NOT ENTER!"
He hooks a thumb at it and asks Jesus, "What's that?"
"Shhh!", says Jesus, "That's the Baptists. They think they're the only ones here."