This is an examination of a bad joke. I know it's a bad joke because I thought it up not too long ago, and I've never thought up a good joke in my life.
Q: If E.T. were very religious and landed in Italy, what might he do?
A: Phone Rome.
Cultural Background Required
In order to grasp the intricacies of this joke, you need to have certain levels of knowledge.
First, you need to be able to at least read and understand English, and an ability to speak it would be even better. If you're reading this, chances are you meet that requirement.
Second, you need to know who E.T. was. This of course was a movie about an extra-terrestrial (an alien from outer space), who found himself marooned on Earth for awhile. He was a gentle sort and it was a nice movie. It would help immensely if you've seen the movie, but that is not absolutely required.
Third, you need to understand Western cultural traditions enough to know that a very religious alien who found himself in Italy would probably try to contact the highest echelons of the Roman Catholic church. Those people reside in the Vatican, in Rome.
Fourth, you'd have to know that after the movie, in North America at least, all kinds of bumper stickers and signs sprang up for awhile with the slogan "E.T. - Phone Home".
Fifth, in English, Rome rhymes with home, thus the punchline, hilarious or not.
Why This Works in English
This works in English precisely because Rome rhymes with home, so an English speaker may find some spark of humor in that, assuming they have the cultural background listed above. In two other languages I'm somewhat familiar with, German and Russian, it doesn't quite work. That is because the German word for Rome (Rom), does not rhyme with their word for home (das Haus or zu Hause or something like that). You run into the same problem in Russian. In Russian, Rome is Rim (or something similar) and home is "doma", or maybe "glavnaya", probably depending on if you're taking about a physical place or state of mind. I'm not fluent in either language, so I don't really know. But in neither language does their word for Rome rhyme with their word for home, so they fail miserably to hark back to North American bumper stickers popular before most people alive today were born.
This is not a good joke, but it requires a deceptive amount of knowledge and specific cultural experience to even begin to groan.