"You don't look like a grateful one": This is ironic because Jesus in this depiction is clearly suffering and bloody, far from looking "grateful" in the traditional sense.
"and you didn't even come in costume": This is the punchline. The actor is very much in costume (as Jesus being crucified), but Mel Gibson is jokingly implying that his current state is not the "proper" costume, perhaps suggesting he should be dressed more traditionally or less bloodied for some reason.
In essence, it's a behind-the-scenes moment with a lighthearted, slightly dark humor joke about the actor's appearance while in character as Jesus during the filming of "The Passion of the Christ."
