Q: What do you call it when Batman skips church?
A: Christian Bale
Does the word 'Bale' have a special meaning in this joke?
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Yes: To "bail out" is to abandon a crashing aircraft by jumping out and using your parachute to descend to the ground. Hence the colloquialism "to bail" is to leave a situation urgently. So in the joke, Batman is "bailing" from church. We presume the church is a Christian one.
The other meaning that makes it a pun is that the actor Christian Bale played Batman in The Dark Knight (https://en.wikipedia.org/wiki/Christian_Bale).