Neuroticism, one of the Big 5 personality traits, is typically defined as a tendency toward anxiety, depression, self-doubt, and other negative feelings. All personality traits, including neuroticism, exist on a spectrum—some people are just much more neurotic than others.
Some self-deprecating comedians and complainers wear their neuroticism as a badge of honor, but in truth, people with neurotic dispositions are more prone to mood disorders, loneliness, self-consciousness, and hypochondria, to name just a few related experiences. In reality, neuroticism is rarely fun for anyone, though some research has shown that neuroticism can predict student success and may be correlated with certain reproductive benefits.
Neuroticism may have provided evolutionary advantages, as well—paying more attention to negative outcomes or risks could have helped certain early humans survive. In the present day, however, it may be a better choice to laugh at one's hang-ups rather than run away from them.