In terms of the effect on others, I think this is very context-driven. Sometimes I am quite happy to be the brunt of a joke, other times not, and I wouldn't like to try to formulate a rule. I know that in face-to-face interactions I am least comfortable with jeering from complete strangers, and more kindly disposed toward those who I know well enough to jnderstand they don't mean to cause serious hurt, but there may be some bias there too in that those who care about me have learned which topics I find most hurtful and tend to avoid those. Online I generally take more care to avoid poking fun at others, but don't tend to react as strongly to others poking fun at me.
I do think that poking fun at others' weakness purely to make oneself look better actually makes one look rude, irrational and unkind. While I hesitate to label it "right" or "wrong" I would go so far as to say this behaviour is unwise if one values social status among people who in turn value politeness, reason and kindness.
Poking fun for other reasons (for example, to educate) can be less self-incriminating, but it is still going to be somewhat context-dependent. It is as well, too, to remember that our desired outcomes and the actual effects of our actions may not always match.
When you make fun of someone, you are probably degrading their purity and disrespecting them (if we look at the results from the lesswrong thread on yourmorals.org, we can see that many of us consider purity/respect to be far less morally significant than most). Yet, making fun of other people does not intrinsically reduce their "utility" - rather - it is their reactions to being made fun of that reduce their own "utility".
This, of course, does not justify making fun of people. Every negative action is only "bad" due to people's reactions to them. But in many cases, there is little reason to be upset when people make fun of you. When they make fun of you, they are gaining happiness over some weakness of yours. But is that necessarily a bad thing? It can be bad when they make fun of you in front of others and proceed to spread degrading information about you, causing other people to lose respect for you. But they could spread that information even when they're not making fun of you.
Many people find it unusual that I actually laugh when people make fun of me (in fact, I sometimes find it uncomfortable when people defend me, since I sometimes even value the message of the person who's making fun of me). I usually find it non-threatening, and I'm even somewhat happy that my weaknesses resulted in the elevation of someone else's temporary happiness. I wonder if any rationalists feel the same way that I do. Of course, I will refrain from making fun of people if I think that they will be negatively affected by it. But it does make me wonder - what would it be like if no one cared if they were made fun of? Certainly, we must react to those who spread degrading information about ourselves. But does it really matter if others laugh at it?
Of course, the prospect of amusing one's recipients is an incentive for some people to spread degrading information about you or your friends. So that may be one reason to counter it. On the other hand, though, laughter is also an incentive for people to spread degrading (and potentially true) information about your rivals. Perhaps people somewhat recognize this, and are frequently somewhat hypocritical about this (not that hypocrisy is intrinsically a bad thing).
PS: I wonder how laughing at other's weaknesses fits in with Robin Hanson's norm-violation theory of humor. Other's people's weaknesses aren't exactly norm-violations.