I suppose I must live up to my billing at least to some extent, though doing so will be slightly problematic, as I don't think I've ever written a shaggy dog story in this medium. A meandering story with something of the form of a long joke which concludes with a pun or bit of wordplay is not a shaggy dog story; it's at best a convoluted pun and at worst grounds for imprisonment. The key to the shaggy dog story is that there is no payoff whatsoever. Or rather, now that I see what I have been reported to have said on this topic before, the vehicle of the payoff is something not recognizeable outside the context of its bearing the payoff as a punchline or something that would be funny or the like at all (this has the counterintuitive effect of making shaggy dog stories more witty than most jokes, at least if you think of jokes and wit the way I do). The correlate of this is that in any particular telling of such a story there is no particular term that has to be avoided, whereas if your convoluted pun is going to culminate in "Ligeti split", say, you had better not use the word "Ligeti" during the setup, unless, of course, you're messing with your audience in what would, I admit, be a shaggy-dog-like way. (I suppose I would allow such things into the class of shaggy dog stories, as a variant in which, by the time you reach the end, the vehicle has been so leeched of surprise or wit that it serves only to deflate—but I haven't written any of those either.)
It's also hard to write a shaggy dog story, because one can generally read faster than one can listen. Maybe Hegel could write an shaggy dog story effective when read. Maybe MH Abrams is wrong, and the Phenomenology is not the Bildungsroman of Spirit, but a shaggy dog story: this might explain the incomprehensibility of the last chapter. (That's the joke, see.) But if one is cursed with as fluent and readable a prose style as mine, one will have to write quite a lot in order to induce the required desire in the reader that I bloody well get on with it. (Imagine if John Bunyan or Robert Burton tried to write such a story—failure.) I'm already hampered when telling such stories by my mellifluous voice the very listening to of which induces such delight in all. But in the spoken case one needn't go on for too long before people will begin to suspect that one might not be going anywhere in particular, and then, of course, one must start reassuring them that it'll totally be worth it. It helps if there are other people around who know what's coming who can assure the marks that they've heard it before and it's great. (It is for the benefit of such of those people as happen to be present, and oneself, that one tells a shaggy dog story in the first place.) I hypothesize that one best tells a shaggy dog story to someone who has a meeting that's not too important but not completely trivial coming up in, say, twenty minutes. But if such a person were reading a shaggy dog story, s/he could always just return to it later. And of course the author can't directly interact with the reader. It's a decidedly non-optimal situation.
For all these reasons and more I simply cannot relate to you a shaggy dog story here. But I can inform you of a new shaggy dog story type, or anyway method of conclusion.
For reaons of conceptual purity I think such stories should actually involve shaggy dogs. I know of two basic frames—either there is a shaggy dog contest, or someone has lost his shaggy dog—and two basic ways of telling them—profuse or laconic. I prefer the latter and the former, respectively. In the shaggy dog contest variant, at each level Our Hero's dog wins and, if you are telling it profusely, has ever more effusive praise heaped on it and its shagginess, until, at the very end, the judges merely say "that's not a very shaggy dog". In the missing-dog variant, the owner of the missing dog sends Our Hero away each time, telling him that his dog was much shaggier than that, until at the end he says something like:
good lord, not that shaggy!. What I present to you here is a twist on the missing-dog variant, which takes its inspiration from such works of literature as The Conference of the Birds,
The Approach to Al-Mu'tasim, and Little, Big (each of the latter two, if I remember correctly, explicitly referring to the foremost). Basically one need only consider that as Our Hero quests for this dog, he has less and less time to spend on his own needs, thus growing wilder and less kempt all over and, through constant exposure to various dogs un and shaggy, grows to resemble them more and more (here the teller might be well served by a digression on the subject of bicycles in The Third Policeman). Until by the very end, worn out and weary, clothes in tatters, he leads a monumentally shaggy dog to the owner of the missing dog's door, rings the bell/works the knocker/summons the butler and collapses. A passing zephyr raptures the dog away and the person who answers the door looks down and sees what else but—the missing dog!
Years later, a son of the house is overheard conversing with a fellow on the school playground, saying that there's a boy in his home who thinks he's a dog, and what's more, everyone else thinks he's a dog too.
Why don't you take him to a psychiatrist? asks his playmate.
Well, he responds,
we would, but we need someone to fetch our sticks.