Thou shalt not be a gag
This is just a game to us. We can laugh about our character's suffering, and it's good that we can. But the characters themselves need to take things seriously... not all things, but enough. Fairly basic stuff, really, but it's amazing how quickly one player who doesn't understand this can wreck an otherwise wonderful game.
Insane characters, silly characters, characters obsessed with appearance to the exclusion of all else, characters who care about nothing and nobody outside of themselves. All of these are attempts by a player to create a character who is invulnerable to circumstance: the character doesn't care about anything, so there's nothing that can happen that will hurt them.
This is one of those rare principles that I don't feel any need to justify. Making a character who can't be hurt means making a character who can't be a hero. Don't do it.