There are a lot of shows out there that enjoy making fun of themselves. Usually this is intentional to get laughs or to make a point about the anime industry. In Nadesico for example, the inside-show, Gekiganger III, is probably one of the more funnier examples. The dialogue is corny, characters yell out their powers, and the battles involve mecha that look pretty cheesy - A great spoof on the anime titles of the 80's (even the main character is laughed at for enjoying such corny material). Excel Saga is another show that I felt had some great spoofs, though they were pretty crazy at times.
What other shows do you guys know of that pokes fun of it's own industry?