Dan Emory passes along one that I hadn't heard before, in any version:

Putin conjures up the ghost of Stalin and asks him how he can consolidate his power.

Stalin advises as follows:
Step 1 Kill all the democrats
Step 2 Paint the Kremlin blue

Putin replies: Why Blue?

Stalin replies: Aha! I knew you wouldn't ask about step 1.

UPDATE: OK, I take it back -- I guess this is at least a close relative of this old classic, from the Radio Yerevan family (though I don't think it was meant to be at all focused on Armenians):

A caller asks Radio Yerevan: "I saw a billboard that said, 'Beat up all the kikes and the bicyclists.' Tell me, please: Why the bicyclists?"