Hypothetically, if Tom Cruise played a character named Tom Smith, that would count. Cameos or characters based upon their real lives would not. So neither Ray Romano in “Everybody Loves Raymond”, John Malkovich in “Being John Malkovich”, nor Topher Grace in “Ocean’s Eleven” would count.
Tony Danza played characters named Tony in both Taxi and Who’s the Boss.
In the 1948 movie Twilight on the Rio Grande, Gene Autry plays a character named Gene Autry.
In the TV show The Pretender, Andrea Parker played a character named “Miss Parker.” It’s clearly not supposed to be her.
If animated shows count, in Bob’s Burgers the character Gene Belcher is voiced by Eugene Mirman (Gene being short for Eugene).
The Shining immediately leaps to mind. Jack as Jack.
Tim Allen played Tim “The Tool Man” Taylor in Home Improvement.
They said that’s what they had to do on Taxi because they couldn’t get him to answer to his character’s name. Maybe he’s as dumb as they say and he still hadn’t figured it out by the time of Who’s the Boss?
Nobody’s going to mention I Love Lucy, or The Luci-Desi Comedy Hour, or The Lucy Show, or Here’s Lucy, or Life with Lucy? Did I forget any there? I don’t really think of those as based on the character’s real life. Not sure why the OP thinks Everybody Loves Raymond is based on his real life, I don’t think he was ever a sportswriter.
Wong, in Dr. Strange, was played by Benedict Wong.
And not quite the same thing, but Men in Black starred Mr. Smith and Mr. Jones, which certainly fit the movie.
And, the character’s name was Ray Barone, not Ray Romano.
On The Office, even if you don’t count Creed playing Creed you have Oscar playing Oscar, Angela playing Angela, and Phyllis playing Phyllis.
I wouldn’t count Ray because he was an executive producer who based the character loosely on his own life.
And I was just asking for first names of characters, not matching first and last.
This would likely also disqualify comedians like Tim Allen and Roseanne Barr, who were also involved in the creation of their TV series, in which they played characters with which they shared first names, and which were loosely based on their standup comedy routines.
This far in and no one’s mentioned Woody Harrelson and Woody Boyd on Cheers?!? 
Trivia challenge: What did Woody Boyd have in common with Captain Kirk on Star Trek?
They’re both from Indiana?
ETA: Nope! They have the same middle name!
No, Kirk is from Iowa.
Which is…?
Tiberius!
Yep! And “Woody” is short for…
More or less. According to wiki, “Raymond” was based loosely on his life, not his routine.