Henry Higgins is a provoking character, rude and obnoxious and lacking in self-awareness about how badly he treats Eliza. There's a dark humor as well in how he addresses her, calling her a "squashed cabbage leaf" and other insulting names.
The main humor in the play, however, lies in how easily London society is tricked into accepting Eliza, a lower-class flower seller who they normally would despise. Those of us in the know laugh when she is accepted just because she speaks with the correct accent and wears the correct clothes. Here Shaw shows just how superficial and shallow notions of class are and how little real division exists between people. He provokes by suggesting that class is based on economics alone, not inborn virtue or inherited superiority.
Shaw provokes his audience too with his portrayal of Mr. Doolittle, who, rather than being glad to have ascended to the "respectable" middle class, reacts negatively to its demands, restrictions and hypocrisy. Now that he has money, people expect him to behave a certain way, he has to marry his common-law wife, and all sorts of hanger-on "relatives" who want things from him have emerged from the woodwork. We both laugh at and are provoked by his rejection of middle class values.
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