I don't remember where I first heard a joke punch line.

I thought it was on "Aesop and Son" or "Peabody's improbable History" from the Rocky and Bullwinkle show. I cannot find an episode with the story.

One character tells the story of the Trojan Horse concluding with "Beware of Greeks bearing gifts" whereupon the other replies that the true message of the story was Beware of GIFTS bearing GREEKS

Does anyone know the origin of this wonderful awful magnificent pun?

Hmmm I found some info on a Rocky and Bullwinkle comic book from 1962 with a section of Peabodys Improbable History called 'Horsing Around' - the synopsis references Trojan Horse... this is from comic book #1, looks as though it was reprinted in #12... is it possible you read the joke, rather than watched it?
GCD :: Issue :: Bullwinkle #1 (http://www.comics.org/issue/249230/#419053)

Thanks, I'll look for it and see if the pun is in there---Paul