MOM HALL (Holding her wine glass) It's a nice ham this year, Mom.
Grammy Hall takes a sip of her wine and nods.
ANNIE (Smiling at Duane) Oh, yeah. Grammy always does such a good job. DAD HALL (Chewing) A great sauce.
ALVY It is. (Smacking his lips) It's dynamite ham.
Grammy Hall stares down the table at Alvy; a look of utter dislike. Alvy tries not to notice.
MOM HALL (To Dad Hall, smoothing her hair) We went over to the swap meet. Annie, Gram and I. Got some nice picture frames. ANNIE We really had a good time.
Grammy continues to stare at Alvy; he is now dressed in the long black coat and hat of the Orthodox Jew, complete with mustache and beard.
MOM HALL (Lighting a cigarette and turning to Alvy) Ann tells us that you've been seeing a psychiatrist for fifteen years.
ALVY (Setting down his glass and coughing) Yes. I'm making excellent progress. Pretty soon when I lie down on his couch, I won't have to wear the lobster bib.
The two lines according to online sources are among the funniest lines in the movie, but I didn't get their point, perhaps because I'm not a native speaker.
I looked up the word "dynamite" and it seems to have a meaning an extremely impressive or exciting person or thing, so I would take this line as a compliment Alvy paid to Grammy Hall. Then why was it awkward?
As for the second, I actually had no clue what lobster bib alluded to. Does it have to do with the previous lobster scene?