The definition of a shaggy dog story* is one of escalating events that build the reader’s expectation for a pay-off at the end, and then doesn’t deliver. It's a deliberate way of telling a story, usually told as a joke. “The Mysterious Card,” by Cleveland Moffett, published in Black Cat magazine in 1896 and scanned from a 1969 reprint, is not a joke but is still a shaggy dog story. It was popular because sometimes people are happy to be fooled by the unexpected, even if the unexpected is shaggy.
From the anthology, Great Untold Stories of Fantasy and Horror**, 1969, edited by Alden Norton and Sam Moskowitz. (Note: Moskowitz's introduction to the story is garbled due to some production error that slipped by the proofreader.)
Copyright © 1969 Alden H. Norton
*There’s disagreement as to what the original shaggy dog story was, but one of the stories vying for original went something like this. (My version is told without all the build-up of the original.) An American sees an advertisement in a local newspaper. A rich man in London is offering a reward for his lost shaggy dog. The man goes out looking, finds a shaggy dog, and has a series of adventures getting it across the American continent, on a ship to England, then from the port to the rich man's home. The butler opens the door. “Sir,” says the American, “I have found your shaggy dog.”
The butler sniffs as he closes the door in the American's face, “My master's dog is shaggy, but not that shaggy.”
**The title is misleading and hyperbolic. The stories aren’t exactly great, nor are they untold. They are fantasy and horror, though, or in the case of “The Mysterious Card,” unclassifiable as either genre...just...shaggy.