98 minutes of meta-humor
I have a theory that this movie is more than anything anyone here is alluding to. I believe that the actual premise is that the movie is funny because it is unfunny in its attempt to satirize comedy. There are a few hints, all of which point to this fact in a tautological manner. For instance, right after the show in India, the audience's intelligence is insulted and, in the next scene, the words "perhaps this is more than it seems" are spoken. The hamfisted manner in which the satire itself is performed is the actual joke.
If I'm correct, then this is one-upping Andy Kaufman. The problem is that, while a treat to discover, the joke doesn't exactly warrant 98 minutes worth of mirror-in-mirror contemplation just for a chuckle. It would be, however, a fine work of art.
Of course, I could simply be giving this movie too much credit. It's been years since I've seen another of Brooks' films, and I don't recall them being of the same caliber as what I'm proposing, here. Of course, his entire career could be part of the joke, culminating in this movie.