"The non-Chinese origin of the fortune cookie is humorously
illustrated in Amy Tan's 1989 novel The Joy Luck Club, in which a pair
of Chinese immigrant women find jobs at a fortune cookie factory in
America. They are amused by the unfamiliar concept of a fortune cookie
but, after several hilarious attempts at translating the fortunes into
Chinese, come to the conclusion that the cookies contain not wisdom,
but "bad instruction."

There is a common joke involving fortune cookies that involves
appending "in bed" or "between the sheets" to the end of the fortune,
usually creating a sexual innuendo or other bizarre messages (e.g.,
"Every exit is an entrance to new experiences [in bed]"). [5] A
similar joke appends "with a battle axe" (e.g. "You will solve your
greatest problem [with a battle axe]"). [citation needed]

Although many people do not take the message in a fortune cookie as a
serious oracular device, many of them consider it part of the game
that the entire cookie must be consumed in order for the fortune to
come true.[6] Variations on this idea include not eating the cookie if
a fortune seems unlucky, or the idea that the entire cookie must be
eaten before the fortune is read. Or conversely, the fortune must be
read before any of the cookie is eaten. Some people believe the
fortune will not come true if it is read aloud. Additionally, the
fortune is said to come true if one uses "your lucky numbers" on the
back of the fortune to play, and win, a game of Krypto."

http://en.wikipedia.org/wiki/Fortune_cookie