Sir Andrew and Feste use puns on the words “catch” and “knave.”
A pun is a play on words, where you use the meanings of words in different ways for humor.
One of the best punsters in the play is the fool, Feste. He often plays with words, because it is his job. In Act II, scene iii, there is a pun involving the two meanings of the word “catch." The men have asked for a catch, meaning a song. Feste sings a love song. Then there is this interaction.
An you love me, let's do't: I am dog at a catch.
By'r lady, sir, and some dogs will catch well. (Act 2, Scene 3)
The pun is that Andrew means that he is a good singer, but he uses the words “dog” and “catch” in the same sentence, and that is really too good to pass up for Feste. He makes a joke about dogs catching, referring to the playing of catch or fetch with a dog.