I think Gilly is more about Wiig's talent for bringing a cartoon character to life than punch lines. That's what Gilly is: A living cartoon character. She's mimicking a hand drawn character in her facial expressions, movements, and dialog. I, personally, don't find Gilly that "funny" from a punch line standpoint either; however, inasmuch as she's a concept that Wiig executes to perfection, I find Gilly a work of genius. She's a bit like jazz-fusion. You don't like it for the hooks as much as the for the technical execution.