Animation and voice acting are obviously superior ways to convey comedy, so I'd say it's normal. I'd like to add that the first four volumes aren't that good and the anime really did them justice.
You should at least keep reading until volume 5 and 6, they're the peak of the light novel. Volume 9 is also good, but the two volumes that precede it are tedious.
If you like Megumin, you should also give Bakuen a read.