General Puns:
* "Grim reaper" can also mean a really bad haircut.
* "I'm not feeling grim, just a little gray." (Playing on the color gray)
* "The movie was so grim, it made me want to go home and watch something more cheerful... like a documentary about the plague." (Dark humor)
Specific Puns:
* If you're talking about a gloomy situation: "That news was so grim, it made me want to go lie down in a dark room and eat my feelings."
* If you're talking about a scary movie: "That horror movie was so grim, it made me want to hide under the covers and call my mom."
Let me know if you want to try and come up with some more!