Lyric discussion by NameGotTaken 

Cover art for Mr. Me lyrics by They Might Be Giants

I always thought this song was about a hippy type who did drugs to get closer to the collective unconscious, thinking it would bring him deeper understanding of the mind.

So he dove in (did alot of drugs) but realized that he didn't gain any deep understanding, and the misty sea was too deep and vast for him to explore it all.

So he'd wasted his time and he got depressed knowing that he'd never gain the deep understanding he expected.

My Interpretation

"enjoy the show, look out below, but mind the misty sea" is a warning.

"Enjoy your trip, have your trippy thoughts, but don't fall in and make it your life"

Drugs being a boat that lets you explore the 'misty sea' and diving in being addiction or dependance.