It depends on the woman in question and your delivery. Sometimes it's not the joke/statement itself that's dry, it's the way you say it.
My humour is both dry and a little dark and it's my way of making light of tense situations and dramas. I tried doing goofy and more obvious humour, but it's just not consistent with my personality.
Personally I find a lot of women appreciate my sense of humour, but they need time to warm upto it. It's not a good style of humour to use during first contact that's for sure.