Lucky Star is deep, moreso when viewed by people like us. We all can identify with Konata, the happy, carefree otaku that lives her life just as we do, watching anime, playing games, wasting what others see as precious time of our youth in front of the computer. However, that's only the surface. The light hearted comedy is but a front, a trap for those intelectually inadequate for analysis.
Because, where other shows, viewed as dramatic and deep hit you in the face with tragic scenes, Lucky Star only brings up the bright side of things, the happy moments. The key lies in the ending, the dance scene. What will Konata do after? Go to a uni when she has no goals, nothing she enjoys? She is unable to make friends, so she'll likely end up alone, straying from her group as high school ends. That dance is her last moment of fun, before dropping into self pity, misery, despair. But we don't get to see that. Just as, looking at our lives, we think we'll be able to live like this forever. That's an illusion however. Like Konata, we too will wake up one day, after that last rush, that last dance, as worthless human beings with nothing better to do left than to die. That's the essence of Lucky Star. And it's a most grim one.