Standards/recommendations for Drush make files included in contrib modules
@jhedstrom recomendation is valid. Modules should not include a module_name.make file, to prevent drush make running them on recursion. Adding module_name.make.example is desired, and is helpful to build makefiles, specially when the module has several dependencies, including libraries.

OTOH profiles do include makefiles. It is a common practice for a different use case, where discovery and recursion is desired.