Q: Why do bees have sticky hair? A: They use "honey combs"!
Explanation: You already know that bees make honey. Honeycomb is where honey is stored in the hive. The honeycomb is made of many hexagons (a 6 sided figure like a snowflake or nuts and bolts) that are made of wax.
A comb is used to make your messy hair neat. When you run the comb through your hair or pass the comb through your hair you are combing your hair.
This joke is funny because it plays with the words comb and honeycomb. And obviously, bees do not have hair that needs a comb just like people do. (Bees, though, do have hair.)
Here is a very interesting video about bees growing from eggs in the honeycomb: