They have a
whole section on TVTropes devoted to this.
In a similar boat with Shannon and Curtis, I like Lampshade Hanging when it's done well. Defensive Lampshade Hanging seems more like a comfort thing, but when somebody makes a joke to deliberately make fun of, deconstruct, or parody the situation, that's usually funny or thoughtful/thought-provoking.
For example, Defensive Lampshade Hanging:
Improviser 1: Ok, Tyrone, since you're the old know-it-all soldier with a photo of his family in his pocket and this is your last mission before retirement, we're sending you into the dangerous base first.
Improviser 2: Gee, it's almost like you're asking me to die on this mission.
Audience: Well, duh!
And Deconstructive Lampshade Hanging:
Improviser 1: Ok, Tyrone, since you're the old know-it-all soldier with a photo of his family in his pocket and this is your last mission before retirement, we're sending you into the dangerous base first.
Improviser 2: Alrighty. Let's split up. I'll search all of the dark rooms and abandoned stairwells while inspecting creepy and threatening noises. After all, what's the worst that could happen?
Audience: Amusement!
To me, Deconstructive Lampshade Hanging is like hitting the bullseye of the Circle of Expectations with a firework shell: it does exactly what the audience is thinking will happen next in a pretty, or at least eccentric, display.
But unlike Curtis, I not only think there's not enough Lampshade Hanging, I think Lampshade Hanging can be incorporated into an entire universe if done properly (one of the ingredients to Post-Modernism). For one of my RTF finals, I had to write a TV show pilot, and the entire show
was Lampshade Hanging ("Hi. I'm going to be your best friend for the next 23 episodes!"/"I know what'll solve this! I'll use DEUS EX MACHINA IN A CAN!" "But it'll destroy the previous plot and character development!" "It's the only thing we can do! The writers ran out of ideas!"). In fact, the entire Yu Gi Oh Abridged Series and Order of the Stick are two web series that thrive on Lampshade Hanging. In fact, Metal Gear Solid and its sequels can be equally called "Lampshade Hanging: The Video Game".
Inversely, I find it ironic Roy says Lampshade Hanging is mostly reserved to bad fiction, because aside from the fact there's a lot of good fiction that do it, I don't think there's enough of it in bad fiction: even the Defensive Lampshade Hanging, unless it's the dreaded, "Gee, what are the odds of this?" or, "This had to be a coincidence!" lines, because those lines are the sign of either bad writing or a universe ruled by coincidence, which is usually the result of bad writing.