Demons

Making fun of oneself is "fine", making fun of another a "no-no".

The first is self-deprecating or honest.  The second is disrespectful, rude, or reveals the struggles or "inner demons" of the "comedian".

• "An individual is rarely 'funny' at the expense of another but often hilarious 'beyond compare' by relaying their own 'disasters'."

Get those backward or confused and pay the "ultimate expense".