George Takai, Wil Wheaton, Katee Sackhoff, LeVar Burton, Brent Spiner, James Earl Jones, and Carrie Fisher all appeared as themselves in The Big Bang Theory.
Life’s Too Short with Warwick Davis has some good ones. Very memorable were Val Kilmer (pitching Willow 2) and Liam Neeson
Nicolas Cage on SNL’s Get in the Cage
Bert Parks in 1990’s The Freshman.
eta: and of course, Marlon Brando in the same film.
I liked Patrick Stewart and his awesome ideas.
But…it’s too late; I’ve seen everything… :p:D
Nitpick: Although Brando was playing a broad parody of Don Corleone from The Godfather, he was not playing himself. His character was named Carmine Sabatini. The gag was that he resembled Brando and that he was the inspiration for Brando’s character in that film. I interpret the OP as saying the actor must be playing himself under his own name.
I’m not sure if this qualifies, but how about Adam West as Mayor Adam West?
Tim Stack was good on My Name Is Earl. Stack’s an actor and writer and he had previously starred on the sitcom Son of the Beach. He later got a job as a writer on My Name Is Earl and then became a recurring character in the show, playing himself as a has-been actor who was still wearing his costume from Son of the Beach.
Sam Waterston reading something in a serious tone on The Colbert Report:
I really liked James Van Der Beek in Don’t Trust the B in Apt 23.
Matt LeBlanc in Californication. He did the same sort of thing in Episodes but I’ve never seen that show.
Jennifer Grey kidded her image and the problems she had had with her career (especially her nose job) in the TV show It’s Like, You Know.
God. Yes. Liam. Neeson.
“Just try and 'make it so”
“I don’t know what that means”
“Really? And you’re single?”
Veronica Mars has James Franco…
Being John Malkovich is my favorite though.
Whoa! Laurence Olivier, Christopher Plummer, look out!!! :eek: 
That sounds good. How about Mills Lane and Stone Cold Steve Austin on Celebrity Deathmatch?
Those are clearly satirical versions of who they really are, especially in the case of Seinfeld.
I agree. I don’t believe Jerry is really as shallow as his TV character and I don’t believe Larry David is really a socially clueless asshole.