When the laughs come in “Welcome to Me,” a comedy-drama about a mentally ill lottery winner who uses her windfall to buy a television talk show, they are the awkward kind that slip out just before you realize that the pratfall you’re guffawing at may have caused the clown real pain.

It’s reassuring to know that Kristen Wiig is that Pagliacci, and that Will Ferrell and Adam McKay are among this oddball film’s producers. But there’s an emotional nakedness to Wiig’s unhinged performance as Alice Klieg, a woman with borderline personality disorder who has stopped taking her antipsychotic medication, that sometimes makes her hard to watch, even as she is in the limelight. The tension between voyeurism and vulnerability is made most explicit in a breakdown scene, late in the film, in which Alice walks, dazed and naked, through a hotel casino.

The clash of entertainment and tragedy also lies at the heart of the uneasy audience appeal of Alice’s television show, a poor woman’s “Oprah” on Southern California cable that unexpectedly starts to earn a cult following after Alice begins using it as a very public — and not particularly therapeutic — confessional. Segments in which the host uses actors to stage slights from her youth alternate with jags of crying and screaming, interrupted by the kind of monotonous household-hints filler that you might find on public access at 4 a.m.

This train wreck of a show — also called “Welcome to Me” — is memoir as performance art, a “narrative infomercial,” in the words of the adoring grad student (Thomas Mann) who is writing his thesis on Alice.

Sensitively directed by Shira Piven (Jeremy’s older sister) from a smart script by Eliot Laurence (Logo’s “The Big Gay Sketch Show”), the film offers an unsubtle critique of reality TV and our seeming obsession with parading — and cheering — our neuroses in front of the camera. It’s no accident that Alice’s last name is Klieg, evoking the light fixtures of stage and screen. Back in Alice’s apartment, her television has been on, she tells us, for 11 years round the clock. If she’s a monster, she’s one that has been irradiated by the constant glow of the boob tube.

The satire is driven home by the venality of Rich (James Marsden), the glib, phony-baloney station manager who agrees to put Alice on the air after she writes him a check for $15 million. Jennifer Jason Leigh and Wes Bentley round out the supporting cast as show staffers, with especially fine performances by Joan Cusack, who plays the show’s horrified director, and Tim Robbins as Alice’s put-upon psychiatrist.

Though the larger plot centers on a rupture in Alice’s relationship with her best friend, Gina (Linda Cardellini), the film doesn’t resolve that conflict with anywhere near the grit of its social satire or the grace of Wiig’s performance.

As she demonstrated in “The Skeleton Twins,” the former “Saturday Night Live” comedian has grown so adept at rendering troubled characters without offering sideline commentary that you can’t help but fall in love with her, even as laughter gives way to uncomfortable silence.

R. At the Angelika Pop-Up at Union Market. Contains obscenity, sex, nudity, pot smoking and a scene of veterinary surgery. 105 minutes.