I'd be interested in native speakers' thoughts on how I sometimes try to explain this.
Consider these English phrases:
My car broke down on me.
My dog died on me.
Of course you weren't under the car when it broke down, and the dog wasn't on top of you when it died. To my ear, adding "on me" makes it more informal, and adds a note of emotional involvement (like the "social relationship" mentioned by Pycckи). It's more expressive than the comparatively flat, neutral "My car broke down."
I think this usage of у меня, у тебя, у нас is similar, with this difference: I hear this "on me" mostly in negative contexts, but у меня etc. can be used in an affectionate way (as well as condescension, as in the joke, or Pycckи's examples). You can sometimes capture this note with a possessive in English translation:
Федя у нас замечательный музыкант.
Our Fedya is a wonderful musician.
But you can also use the construction in Russian with pronouns; in these cases I've never found a good way to express that nuance of connection/relationship in English (we can't say "our he" or "my they.."!). In my translations below, it just gets lost.
..они у меня такие добрые, щедрые, талантливые, а главное, остроумные..
They're so kind, generous, talented, and the main thing - witty..
Она у нас такая красавица, а ты говоришь: рыбой пахнет! ― сказал Тарарах.
"She's such a beauty, and you say she smells like fish!" said Tararakh.
-Дмитрий Емец, from ruscorpora.ru