Watching you eat makes my cholesterol hurt.

What does he mean by the next sentence?
Watching you eat makes my cholesterol hurt.

It is supposed to be funny. As you will know, cholesterol is a substance in the body that, in excess, or in certain forms, is thought to be bad for health. It is associated with fatty foods like butter. The expression “makes my … hurt” is used with parts of the body that one can actually feel pain in. In fact, cholesterol is not something that one can feel pain in, and therein lies the joke, I presume.

Dozy seems to be lacking in humour:
[color=red]It is supposed to be funny…
…and therein lies the joke, I presume.

[color=red]…cholesterol is thought to be bad for health…The expression “makes my … hurt” is used with parts of the body that one can actually feel pain in. In fact, cholesterol is not something that one can feel pain in,

So far, so good - medically and idiomatically!
But look at the amount of butter that the woman puts on her bread…in front of a man whose doctor has probably advised not to have any butter in his diet.

Look at the forlorn expression on the man’s face, as he envies what the woman is about to enjoy!!

THEN - (and herein lies the humour)…like a transferred epithet…he refers to his cholesterol level, and that it is his cholesterol condition that hurts - but it is the man himself who hurts, aches with his longing for having even just a scrape of butter on any bread he eats!!!

I prefer to think that I have a discriminating sense of humour.

Mind you, I did almost laugh aloud at Allifathima’s joke:

Teacher: Can you name three members of the cat family?
Pupil: Mother cat, father cat and baby cat.

…and therein lies the difference:

Dozy:
[color=red]Teacher: Can you name three members of the cat family?
Pupil: Mother cat, father cat and baby cat.

Just like Goldilocks and the three bears…

…versus more sophisticated humour.

If you mean that the original cartoon is “sophisticated humour” then I have to disagree. I think it is feeble.

(By the way, I think you may have missed the “mind you” in my post.)