Jacqueline Susann always put a female character with a “J” name into her books: Jennifer, January, Judith.
The protagonist of Philip Dick’s novel Valis is named Horselover Fat. Horeslover in Greek is Philip; Fat in German is Dick. But you all knew that, right?
There are at least two instances of this in the Saint books. In one of the early ones (i think the second one) Simon Templar takes notes so that an unnamed author friend of his can write a blood-and-thunder novel about the adventure. In a much later book, (one of the last) simon jokes how the chap that wrote about him often receives letters addressed to Miss Leslie Chateris.
In Bag of Bones, the protagonist is a thriller writer. King is not mentioned by name in the book, but the protag does compare his style and sales figures to Dean Koontz and Mary Higgins Clark. The funny thing is that the protagonist portrays himself as behind those two in popularity, whereas King himself stomps them into the dirt.
Oddly enough, IIRC the writer’s name (Mark Gruenwald) was never mentioned, even though the names of other Marvel/Captain America staffers were tossed around freely.
In Simon Hawke’s Apprentice Adept books, while he never uses his own name, the omniscient narrator is obviously meant to be him. He’s involved in the story because the chief villain, an evil sorceror, is so powerful he can hear the narration. 
In the end, he loses against the hero, and ends up in our world - and takes over the author’s publisher.
Anne Rice mocked herself in Queen of the Damned. The unfortunate vampire Baby Jenks apparently reads Interview with the Vampire when she needs to bore herself to sleep.
John Varley obliquely mocked himself in Mammoth, when the protaganist is studying time travel stories and reads a really weird one about people being abducted from planes that are about to crash. This was a reference to his novel Millenium.
Well, to extend that futher, Stephen King is an actual character in the last Dark Tower book, playing himself. It’s very weird, but somehow, it works.
Stephen King being a character in the last two DT books is working for me for some reason. It’s not a surprise, given how many adaptations of his books he’s played bit parts in (I think most recently as the pizza guy in Rose Red, but perhaps he was in Desperation or Riding the Bullet), so it’s less jarring thab it might be from another author.
After reading a hundred or so essays on the YA book Holes, I read one where a smart kid finally pointed out something than I never realized, nor did any of the people I’m supervising: Stanley’s last name “Yelnats” is just Stanley backwards. Now it seems obvious :smack:
So I wonder if I could get away with naming a character Renee Nonnahs without readers catching on (Renee is my middle name, and I’ll leave you to figure out Nonnahs). When I become famous, I just might do it 
In The Eagle Has Flown, Jack Higgins places himself in the first chapter, talking about a secret meeting with Devlin inside a country church.
Sinclair Lewis injected characters from other of his novels at least once. I remember the title character from Arrowsmith meeting the title character from Babbit through a mutual acquaintance.
Paul Auster wrote himself into City of Glass.