Q: What is an alien’s favorite candy?
A: A Mars bar!

Explanation: An alien is a being from outer space, perhaps like E.T.  And you already know what candy is.  You might not know what a Mars bar is, though.  A Mars bar is a candy bar made by the Mars company.  Yum!  Mars is also the name of the 4th planet from the sun (we are on the 3rd planet, Earth!).

This joke plays with the word Mars both as a candy bar and a planet in outer space, where an alien might come from.