THREEPIO: Oh, no! I've been shot!
This is a very dramatic moment. We laugh because it's 3CPO, he's a robot. Yet think of a human in a similar situation: imagine a corpse of a soldier (torso, head, one hand) resurrected from the dead, recalling that moment. "So we were assaulting that position, I threw a grenade towards that MG nest and... wait, that's when I took the bullet!?!?"
Creepy. That's why ESB is so grand.