The term "Feghoots" originated in the magazine Fantasy and Science Fiction. In this magazine, stories were published which featured a character named Ferdinand Feghoot, who endured all manner of misfortune in his stories, only to have them all end with a PUNchline (with the emphasis on the PUN).
These stories, and others like them came to be known as Feghoots, but they are equally well referred to as "Groaners" or, as found here at BadPuns.com, "Shaggy Dog Stories".
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