This isn't really a "funny PM", but I find it pretty funny when someone PMs me whenever I kill them because they're mad that they lost their (insert number) killstreak.
For example, today, I was just streaking, minding my own business (got it up to 150+ until my mom took out the router). Anyway, some people kept PMing me because I killed them just while doing my thing.
I just find it pretty funny when this happens...