I still run into those situations, and when I do, I just stop joking. I don't do what your brother does, re: seizing the opportunity to get away with brutal sarcasm.
Re: general deadpan and sarcasm with dense people... Here's a relatively recent example, from when I wore a jackalope sweater to work:
Coworker: "Are jackalopes real?"
Me (deadpan): "Yes. They frolick in the deserts at night, and only breed during thunderstorms."
Coworker (amazed): "Really??"
Me (dropping the deadpan expression): "No!"