Writer-director Shearer is a very talented comic actor and commentator, best known for his numerous voices on The Simpsons (Mr. Burns, Ned Flanders, et al) as well as his role in This Is Spinal Tap. So how does he fare as a filmmaker? Let me put it this way: don't quit The Simpsons just yet, Harry.
A broad satire, Teddy Bears' Picnic is about a weeklong forest retreat for successful white men - business tycoons, celebrities, and political leaders, millionaires all - in order to "blow off some steam," which means a) boozing it up; b) sleeping with the hookers across the lake; and c) otherwise acting like frat boys.
The premise - inspired by the real life antics at the ultra-elite Bohemian Grove - is clever. The execution, unfortunately, is flat. This is a little surprising, since the cast is full of witty comic actors such as Michael McKean, Fred Willard, George Wendt, and Henry Gibson. Perhaps they were all so convinced that they were naturally funny that they decided not to make much of an effort with the material.
Also, I've longed noticed something about Shearer's writing: it's so sharp that it's not really funny. Shearer's targets are a little too obvious, too, and while he avoids most of the stereotypical Republican jokes, he nevertheless mocks his characters without ever relating to them. It makes for a smug - and, even at 80 minutes, rather tiresome - comedy.
Finally, it's cheaply made and ugly to look at. You'd think Shearer would have parted with a little of his Simpsons cash to get some nicer production values. Teddy Bears' Picnic looks like it was shot for fifty cents.