'Having a laugh' is a remark used to describe a type of comic behaviour that is facetious, ironic or sarcastic. The person may be fooled into believing the other person is being serious, when in fact he's just 'having a laugh'. It's harmless fun.
In some cases it's synonymous with mockery.
But like most things British its subtle and understated.
It's also lighthearted in nature
1. "Are you kidding me?" Typically used in Great Britian.
2. The catchphrase of Andy Millman's (Ricky Gervais) in the tv-show-within-a-tv-show, "When the Whistle Blows". (from Extras.) Spoken in a high pitch and followed by "Is s/he havin' a laff?"
"What would you go for first if you were a piranha?"
"I'd probably just have a bag of crisps."
"Are you having a laugh?"
Person 1:How much will you pay for this?
Person 2:Erm not sure how much you want?
Person 1:(Mazzively overpriced number here)
Person 2:HAVING A LAUGHINNE??
Person 1:wtf?
Person 2:lol matt you see that?