JJ:  I often laugh and shake my head when I do something "stupid."  However, it's one thing to "make fun" of yourself but quite another to make fun of others.  Old guys can tell "old guy" jokes.  Fat people can tell "fat people" jokes.  etc....self-depricating humor is "safe" humor.  Humor with someone else as the target is quite different.
My wife and I have been married 53 years.  One of the things I learned more than 52 years ago was that it's fine to laugh when you do something "less than brilliant", but not a great idea when your spouse does.  (Gary's Tip of the Day for a long, happy marriage)