Heather Donahue, Joshua Leonard, and Michael C. Williams played Heather Donahue, Josh Leonard, and Mike Williams in The Blair Witch Project.
Penn Gillette and the mononymous Teller star in Penn & Teller Get Killed. Arguably, they are simply playing themselves, but just as arguably they must be playing fictional characters as neither Penn or Teller has yet, to my knowledge, gotten killed.
Fran Drescher played Fran Fine on The Nanny and Fran Reeves on Living with Fran.
Reba McIntyre played Reba Hart on Reba.
Bob Crane played Robert Hogan on Hogan’s Heroes.
Two from real life:
Susan Richardson played Susan Bradford on Eight is Enough.
Jobeth Williams played surrogate mother Mary Beth Whitehead in the Baby M TV movie.
Nell Carter played Nell Harper on Gimme A Break!, where she was friends with the cute kid next door Joey Donovan, played by Joey Lawrence, who later went on to play Joey Russo on Blossom.
Potentially of interest, but probably not: in the movie, Malkovich is given the full name John Horatio Malkovich. (It shows up during that retrospective of his career before the big Swan Lake scene.) His real middle name is Gavin.
On “Dr. Katz, Professional Therapist”, Dr. Katz was played by Jonathan Katz, his son Ben was played by H. Jon Benjamin, his receptionist Laura was played by Laura Silverman, and all of his clients were comedians and actors playing versions of themselves.
She played Lucy ______ on every one of her TV shows (I Love Lucy, The Lucy Show, Here’s Lucy, & Life with Lucy). Oh and let’s not forget about Lucy Calls the President.
They added one of his brothers, I forget which one, Matthew or Andrew, to Gimme A Break! near the end, also using his real first name as the character’s name.
Brendon Small played Brendon Small.
Paula Poundstone (originally) played Paula Small.
Melissa Bardin-Galsky played Melissa Robbins.
Jon Benjamin played John McGuirk.
Ron Lynch played Mr. Lynch.
My favoite moment in Roseanne was the informal Mother’s Day picnic they had. Dan was playing his guitar and the cast was singing “You Really Got a Hold on Me.” Bonnie joined it, and everyone stopped singing and just listened to her belt out that song. It was so true to life and wonderful.