As Romeo, Mercutio, and Benvolio are on the way to the fateful ball at the Capulets' mansion, Romeo is still moping about the fact that Rosaline has rejected his love. He asks to carry a torch:
Give me a torch. I am not for this ambling.
Being but heavy, I will bear the light.
The pun here is on the word "light," which is, on the one hand, the opposite of the word "heavy." Romeo's heart is heavy, because he is sad. On the other hand, of course, the word "light" refers to the fire from the torch that he is asking to carry.