Humor

It came as a surprise, but Katniss is actually a very innocent character. In the book 'Catching Fire', a running joke between the other victors is how she's shy about seeing nude people. It's a normal response, but what makes it so amusing is the fact that she's so deadly a person, but yet she can't stand it. Such a thing doesn't really matter in the arena anyways, like Peeta said in 'The Hunger Games.'

But why do the victors find something as small and ordinary as that amusing? Why do they like to tease her about it?

That is something that Katniss herself doesn't understand, because she's too high-strung. The odds are higher than ever for her, and she responds to that by isolating herself from her fellow victors because she doesn't want to kill any of her friends.

I don't think that's all the reason there is for that; I think that Katniss also feels jealous of the victors' friendship. When she sees them laugh together, it occurs to her that they have known each other for perhaps longer than she's been alive. Some of them are inseperable friends, and deep down, she may resent that she has never had the chance to have a lasting friendship. (She thought she was going to die, so Gale didn't count.) On the other hand, she is also glad that she hasn't had the chance to know them, as she states '...a lot of them are so damaged that my natural instinct would be to protect them.'