The study Mate selection criteria: A trait desirability assessment study of sex differences in Serbia (PDF) gives the following table (my highlight) stating that yes, women do value a good sense of humour, but not above all else, and not significantly more so than men:
The above figures are as rated by the men and women themselves, in questionnaires.
However, that study is somewhat of a fishing trip. Another study, looking specifically at The influence of humor on desirability finds the following:
Participants chose which person was a more desirable partner for a romantic relationship, and which individual was more likely to have several personality traits. Only women evaluating men chose humorous people as preferred relationship partners. For both sexes, humorous individuals were seen as less intelligent and trustworthy than their nonhumorous counterparts, but as more socially adept.
The conclusion might be that the topic is controversial, which you'll certainly find with a lot of studies on aspects of personality and psychology, and there could very well be cultural discrepancies.
In The influence of humor, participants were asked to identify the most desirable partner for a romantic relationship, using the same subjects, and having a humorous or neutral autobiographical description as the only variable. The difference in study design could potentially explain some of the discrepancies in the conclusions of the two studies, in that the former measures what traits people perceive that they value, and the latter measures to what extent they're actually taken into account. This means that the latter study could cover subconscious parts of decision making.
Another possible interpretation is that the two results are entirely compatible, and that this is exactly what you can expect when you're specifically testing a hypothesis, and compare that to result of a more qualitative study design. For instance, it is quite possible that the table from the first study matches exactly the weighting that was applied in the decision making in the second study. That could be explained by the other traits; e.g. Beauty - which is the only p<.01 difference, remember - might be so strong a determinant in the male respondents that the humorous/neutral tagline variable didn't affect the outcome, whereas the female respondents, quite in line with what the first study reports, doesn't pay as much attention to beauty, and therefore allow the humour variable to affect the outcome to a greater degree.
I do recall Richard Wiseman citing support for the idea that women do value humour significantly higher than men, in his book 59 Seconds, but I don't have it available at the moment to be able to check those sources, or even what the exact claims are.