Crosstalk is a traditional Chinese theatrical performance art. It is commonly performed by two performers in the form of a dialogue. With the typical features of dialogues, crosstalks are also designed to be hilarious for the purpose of amusing the audience. In this study, we introduce CrossDial, the first open-source dataset containing most classic Chinese crosstalks crawled from the Web. Moreover, we define two new tasks, provide two benchmarks, and investigate the ability of current dialogue generation models in the field of crosstalk generation. The experiment results and case studies demonstrate that crosstalk generation is challenging for straightforward methods and remains an interesting topic for future works.