Those were the days. To the list of Paris in the 1920s, New York circa 1960, and 1919 Zurich, add Cologne, Germany, 1980 to 1995.

"For sure this place was the best place to be/It was/Non-production, Refusal, Habitus/Soziales Leben (social life), the field, the influence, negativity/scary lack of work,/it was the place/providing suffering artist with lovingly honours and affections/C."

At the end of this elegiac, confessional, dadaistically absurd poem written in 2003 by the Cologne insider Josef Strau is a reproduction of a sappy photograph of a sunset, as if to say we are all tourists to that era now, or maybe we were even tourists then. The poem is Xeroxed on paper that dangles from a reading lamp with a shoddily handmade shade at the Henry Art Gallery.

Strau's poem and lamp are part of Make Your Own Life: Artists In & Out of Cologne, the show whose arrival at the Henry is the best thing to happen in Seattle museums in recent memory. Cologne makes for great reading, as a still-cooling epicenter of do-it-yourself, self-mythologizing art. The scene has disbanded. But some of its artists have risen to the ranks of market and historical darlings. According to Strau, Cologne meant making "nonproductive statements" and "fragments of work," "pretending most of the time that we show models for a space and not certain works within the space." Strau proposes the artists' motivations with a certain blunt frankness: "Simple fear of representation... evasion... the narcistic cultivation of insignificance and meaninglessness... anti-visual heresies."

The exhibition was organized by Bennett Simpson for the Institute of Contemporary Art at the University of Pennsylvania. Simpson was fascinated by Cologne, like many art followers, but he wasn't part of it (he doesn't even speak German). He wasn't—as Andrea Fraser says in a 2001 video where she's reenacting a drunken dinner speech given by Cologne head honcho Martin Kippenberger—one of "the with-it types."

Simpson approaches Cologne as a historical and an anthropological phenomenon, from a position of wonder, curiosity, and maybe even a little voyeur's guilt. As a result, his representation of Cologne is not merely a dutiful retrospective of a glorified period or person. It is also a confident laying bare of some of the most hotly debated, enduring questions about art—about the artist's relation to the rest of society, about the power of persona and social life in art, about how artists become canonized, and about how, why, and at what point in their careers artists choose other artists as allies and touchstones.

In putting together the show, Simpson was transparent about his outsider position and the problems it presented. (His articulate essay is worth the $15 catalog price.) And he was punked for it, too. The painter Merlin Carpenter told Simpson he would send paintings for the show, but he didn't. Instead, he decided to show up a week before the opening, take the $4,000 that would have been used to ship the paintings, and go shopping in New York, leaving the museum only a pile of empty bags (with his receipts inside the Gucci bag) as his commissioned piece. You like the cheap and ugly art in this show? It means sophistication to you? Well, try to like this.

Make Your Own Life is self-conscious. It provokes itself and also its subject, the scene and scenesterism of Cologne, which Strau describes as alternately nurturing and "repressive." Simpson multiplies the perspectives by including art made there and then, and art made after and elsewhere, sometimes by artists who've never set foot in the city. The tactic is a flip-off to anybody who expects the show to be a straight "remake" of Cologne.

Whatever knotty, performative, collective spirit comes across in the show comes from the vantage point of after. Fraser's video performance of Kippenberger's louche speech embodies a shift in thinking about Kippenberger since his death in 1997: "Rather than being seen as a symptom of the art world's decadence, as an irritant and self-promoting provocateur, he might now almost be taken as a corrective, a moral force as much as a tragic buffoon or art-world clown," Guardian critic Adrian Searle wrote in 2003. Through the distancing filter of Fraser, Kippenberger's unpleasantness is easier to swallow and his powers of evasion look more purposeful.

Kippenberger took his own declaration that artists should "make your own life the basis" for art to the extreme, performing a rambunctious self in all of his works. For the leader of a cult of personality, with glamour comes entrapment. And so a photograph of an exhibition by Kippenberger and L.A. artist Mike Kelley is trapped inside Louise Lawler's funny 1992 glass paperweight, which depicts a corner of the exhibition in fish-eye view. Kelley's stuffed-animal sculptures are paired with Kippenberger's sculpture of a man facing a corner, made in mock-shame response to a critic's accusation that Kippenberger was a sexist, racist Nazi sympathizer and alcoholic.

But the only actual Kippenberger in Make Your Own Life is Input-Output, a 1991 series of drawings on restaurant receipts of the many places he'd lived or stayed. In it there's intimacy, but intimacy with a rake! That lack of interiority, of the kind of emotional transparency prized in, say, the neo-expressionist German painting that Kippenberger and other Cologne artists reacted against, is Josephine Pryde's subject in her sardonic 2004 homage to another German-born cult figure who died young, Eva Hesse. Pryde remakes a Hesse sculpture, but with greasy black chainsaw chains instead of Hesse's fragile, messy latex, releasing it from the pimpish presumption of "femaleness" that hangs on Hesse's work.

The show is sprawling. Simpson, bless him, identifies five themes, including nightclubs. An erstwhile club run by the artist Jutta Koether and Sonic Youth's Kim Gordon is remade in a dumb installation with a silver Mylar curtain. Music is another major chapter, referred to in a listening station with shelves lined with records of bands with Cologne artists in them. It is not clear that going to bed with the music scene is a good thing for art.

Entertainment, on the other hand, is a native quality of art, and Simpson associates the period's "carnival" aspect with Cologne's historical Catholicism, which sets it apart in the Lutheran nation. The upshot is that much of this show is fun to experience. "Bad" painting takes on sexism in Koether's huge smiley-face canvas—only a girl would paint smiley faces. Cosima von Bonin's farcical video The Merry Pilgrimage (1991) depicts an influential gallery by outfitting its artists (the dealer is the patriarch) in lederhosen for a Bavarian family sitcom.

Mike Kelley stages, for a video, a perverse underground fashion show in which he wears tighty whities and black shoes, and tries to get a DJ in the gallery above (where his own art show is opening) to translate his spoken impressions about miniature clothes to the audience upstairs. It's a spectacle in a dungeon, its star (Kelley) aging and pockmarked.

There's something carefree about Make Your Own Life, even as it is sharp and provocative. It provides a reminder of something we often forget when looking at art: Artists are making themselves at the same time as they are making their art. Sometimes they figure out who they are by seeing what they make, and they don't have magical answers to the questions the rest of us ask about what it means to be an artist. But in times—and exhibitions—of great reflection, all the possibilities can be seen.