Here is the filled grid:
Explanation of "transmitted over the phone" and "horrifying people interested in numbers" for clues, but not yet for WORD 2/WORD 3 extraction:
"Transmitted over the phone" is a homophone indicator. In each clue, one word has been replaced with a homophone; the 'original transmission' word must be used for the clue to be parsed.
"Horrifying people interested in numbers" is an indicator that a number has either been removed from the clue, or are doing double duty in each clue, depending on your perspective. In each clue, either the number of the clue should be read as the beginning of the full clue, or the enumeration should be read as the end of the full clue.
Clues, answers, and explanations:
ACROSS
3. Analyse unusually direct favor (4)
This is a tile clue. The extra definition is "Analyse"
CREDIT = favor; (DIRECT)*
6. Umpy concealed within ashy perfume (5)
This is a missing letter clue. The actual clue uses "Jumpy" instead of "Umpy"
HYPER = jumpy; hidden in "asHY PERfume"
9. Thousand and one lei totalled (5)
This is a phone clue. The actual clue uses "lay" instead of "lei"
KAPUT = totalled; K+A+PUT
10. Refugee sent back, then second in line is moved to the front? It's a curse (6)
This is a missing letter clue. The actual clue uses "course" instead of "curse"
REGIME = course; EMIGRE< then [R<->E]GIME
12. Orally polls for location of banks in the underworld? (4)
This is a phone clue. The actual clue uses "poles" instead of "polls"
STYX = location of banks in the underworld (as in river banks and the River Styx); STICKS homophone
14. Pounds in dark energy source, hiding answer at the shore (7)
This is a horrifying numbers clue. The actual clue begins with "14 pounds..."
COASTAL = at the shore; COAL containing ST+A (short for STone=14 pounds and Answer, respectively)
16. Sine dividing two pi, I hear, for character of Faust (3, 2)
This is a phone clue. The actual clue uses "sign" instead of "sine"
PINKIE PIE = character of (Lauren) Faust; INK (sign) in PIE PIE (twice homophone of PI)
18. At last, one of European country gets rid of virus (3)
This is a missing letter clue. The actual clue uses "least" instead of "last"
ANY = at least one; GERMANY minus GERM
19. Come in and don't align rebel (5)
This is a missing letter clue. The actual clue uses "malign" instead of "align"
ENTER = come in; DISSENTER minus DISS
20. Mortal peasant holding money from Rajasthan, given away for free (6)
This is a tile clue. The extra definition is "given away for free"
PERSON = mortal; PEON containing RS. (short for Rupees)
24. Would Peru discharge? (5)
This is a phone clue. The actual clue uses "wood" instead of "would"
PECAN = wood; PE (country code of Peru) + CAN (as in, remove from a job)
26. Develop containment for recipe, safeguard joint (6)
This is a tile clue. The extra definition is "joint"
ENSURE = safeguard; ENSUE (develop) containing R(ecipe)
28. Liars are smart, pushing capital to the other extreme (5)
This is a phone clue. The actual clue uses "Lyres" instead of "Liars"
HARPS = lyres; SHARP with first-to-last shift
30. Times: 120 seconds after Egyptian god makes a cheer (3)
This is a horrifying numbers clue. The actual clue begins with "30 times..."
RAH = a cheer; 30 times 120 seconds = 3600 seconds = H(our), after RA
33. Non-IRL gay pair awkwardly makes beehives (5)
This is a missing letter clue. The actual clue uses "Non-girl" instead of "Non-IRL"
APIARY = beehives; (GAY PAIR minus G)*
34. Otherwise, sew a vein for tax crime (7)
This is a phone clue. The actual clue uses "so" instead of "sew"
EVASION = tax crime; (SO A VEIN)*
35. Adequate enormous .png file, maybe? (4)
This is a tile clue. The extra definition is "Adequate".
EPIC = enormous; a .png can be said to be an E-PIC (using E- as a prefix indicating digital technology)
37. Large BLT swallowed by Scottish river flood (6)
This is a missing letter clue. The actual clue uses "bolt" instead of "BLT"
DELUGE = flood; LUG (large bolt) swallowed by DEE (Scottish river)
38. White House's soldier looking back by restroom for a bit (5)
This is a missing letter clue. The actual clue uses "Brit" instead of "bit"
IGLOO = white house; GI< + LOO
39. Superhero lost extraterrestrial amateur actor Harris (5)
This is a tile clue. The extra definition is "actor Harris"
GREENHORN = amateur; GREEN HORNET minus E.T.
40. Old myth of a sugar-addled ditching (4)
This is a horrifying numbers clue. The actual clue ends with "...ditching 4"
SAGA = old myth; (OF A SUGAR)* minus FOUR
DOWN
1. Idol thumbs-ups chefs without company (3)
This is a tile clue. The extra definition is "Idol"
OKS = thumbs-ups; COOKS minus CO
2. Ancient tongue's note audible twice (5)
This is a horrifying numbers clue. The actual clue ends with "...twice 5"
LATIN = ancient tongue; LA (note) + (TEN homophone)
4. Revived voiceover again, making 'buoy' into 'sign of love' (3)
This is a phone clue. The actual clue uses "boy" instead of "buoy"
REDUX = revived; REDUB (voiceover again) exchanging B for X
5. Untidy torte for track event (4)
This is a phone clue. The actual clue uses "tort" instead of "torte"
TROT = track event; (TORT)*
6. Tug on that man, Ash, hiding (5)
This is a horrifying numbers clue. The actual clue ends with "...hiding 5"
HEAVE = tug on; HE (that man) + AE (ash ligature) containing V
7. Shot major annoyance with bread (4)
This is a missing letter clue. The actual clue uses "Short" instead of "Shot"
PITA double def. for 'bread' and as short for "pain in the a**"
8. "Trust" is a race without a foot covering (4)
This is a tile clue. The extra definition is "foot covering"
RELY = trust; RELAY minus A
11. Mowed, by the sound of it, an estate (5)
This is a phone clue. The actual clue uses "mode" instead of "mowed"
MANOR = an estate; homophone of MANNER (mode)
13. Group of snowmen's sure thin after eating The Thing while upset (5)
This is a missing letter clue. The actual clue uses "thing" instead of "thin"
YETIS = group of snowmen; YES (sure thing!) eats IT<
15. Reject pivoted to gain real notoriety (4)
This is a tile clue. The extra definition is "notoriety"
SPURN = reject; SPUN containing R (real)
16. Vital element besieged by brewed optical infection (4)
This is a phone clue. The actual clue uses "brood" instead of "brewed"
PINKEYE = optical infection; KEY (vital element) surrounded by PINE (brood)
17. Old before the Queen, ultimately (3)
This is a horrifying numbers clue. The actual clue ends with "... ultimately 3"
ERE = old before; ER (Elizabeth Regina) + (thre)E
21. Order engineered parts for handle (5)
This is a tile clue. The extra definition is "order"
STRAP = handle; (PARTS)*
22. Inquisitive MC, maybe, in the Big Apple (4)
This is a missing letter clue. The actual clue uses "Mac" instead of "MC"
NOSY = inquisitive; OS (Mac, maybe) in NY
23. Knight's partner: king with rheum in church (5)
This is a phone clue. The actual clue uses "room" instead of "rheum"
KNAVE = Knight's partner; K + NAVE
24. Oddly plumbs small places for pits (4)
This is a missing letter clue. The actual clue uses "pints" instead of "pits"
PUBS = places for pints; odd letters of PlUmBs + S (small)
25. Covers fro and hears a solver's cry (3)
This is a missing letter clue. The actual clue uses "from" instead of "fro"
AHA = solver's cry; first letters from "A[nd] H[ears] A"
27. Dynasty is source of food to the audience (5)
This is a missing letter clue. The actual clue uses "flood" instead of "food"
REIGN = dynasty; RAIN homophone
29. Lot on the record for abbey boss (5)
This is a missing letter clue. The actual clue uses "Blot" instead of "Lot"
PRIOR double def; abbey boss, and blot on one's (criminal) record
30. Type of colorblindness relating to Nu's gender (3-1)
This is a missing letter clue. The actual clue uses "nuts" instead of "Nu's"
RED-GREEN = type of colorblindness; RE + (GENDER)*
31. Aura formed by killer computer and lad, obviously (4)
This is a missing letter clue. The actual clue uses "lead" instead of "lad"
HALO = aura; killer computer = HAL + O(bviously)
32. Dear gets accomplished (4)
This is a phone clue. The actual clue uses "deer" instead of "dear"
DOES double def.
35. God's breakfast food (3)
This is a missing letter clue. The actual clue uses "Goad's" instead of "God's"
EGG double def.
36. On the way without ale in tooth (3)
This is a missing letter clue. The actual clue uses "male" instead of "ale"
COG = tooth; COMING minus M(ale) IN
Extracting WORD 1
In order, the missing letters spell JOEMGORRGANMLBTEAM. This gives the clue "JOE MORGAN MLB TEAM" for WORD 1=REDS, with two extra letters GR
Extracting WORD 2
The 'number of rings in the original transmission' is the number of "O"s in the original word. In order, the extracted letters spell DOTOEORUMIND. This gives the clue "DOTE OR MIND" for WORD 2=CARE, with two extra letters OU
Extracting WORD 3
In order, the extracted letters spell NAMEND. The text instructs us then that WORD 3=NAME and the two extra letters are the last two letters, ND
Extracting WORD 4: Shaded cells category
The shaded tiles with full words are "RED", "PINK", and "GREEN"; this suggests that the category is 'colours'.
Extracting WORD 4: Extra definitions word square
There are nine clues with extra definitions. In order, they are:
3A: "Analyse" = SIFT
20A: "given away for free" = COMP(lementary)
26A: "joint" = KNEE
35A: "Adequate" = OKAY
39A: "actor Harris" = ED
1D: "Idol" = IKON (var.)
8D: "foot covering" = SOCK
15D: "notoriety" = FAME
21D: "order" = TYPE
These arrange into the word square (with Across clues across and Down clues down)
SIFT
OKAY
COMP
KNEE
with extra two letters ED from the unused clue.
Extracting WORD 4: Finding the set of rules, the path, and the final WORD 4
The letters from the regular portion of the clue that are closest to the extra definition, in order, spell UNDERTALE.
In the game Undertale, there is a puzzle involving multi-colour floor tiles, and rules for how to traverse a maze of them. http://undertale.wikia.com/wiki/Multicolor_Tile_Puzzle
Starting in the top left, we are on Orange, which immediately sets our flavour to Orange. We can't go right to RED, so we go down to PINK. We can't go down again to Red, so we go right to PInk. We can't go up to RED, and we can't get through Blue while our flavour is still Orange, so we go right; we slip over the PUrple tile (setting our flavour to Lemon), onto the Yellow tile, which immediately send us back over the PUrple tile to the PInk. Now we can go down to the Blue without being sent back, so we do. From here, we go right to PInk, down to Green, and right to Green to end in the bottom-right corner.
Overall, our moves were DRRRLLDRDR. On the word square, we trace the path SOKAYAKOMEE; starting with the first letter and taking every third letter thereafter, we get WORD 4=SAKE.
Putting it all together:
Putting the WORDs together, we get REDS CARE NAME SAKE or "Red Scare namesake", a clue to Sen. Joseph MCCARTHY. Now, we use the well-known equation $E=mc^2$ to transform this name into a word describing xkcd's humour: EARTHY.
The two extra letters from each part, in order, spell out a word that doesn't describe xkcd's humour: GROUNDED.
Two seemingly connected words, but given how racy and space-y xkcd can be sometimes, I wholeheartedly agree: it's EARTHY but not GROUNDED!