Hoist him with his own petard
I have first hand experience with the Monty Hall types.
For the most part, they are unrepentant and will not change. They view the game as a competition that must be won by them.
Here is a few things that I have used to good effect.
The Eternal Champion - got one real rabid Monty Hauler real good with this. Basically, he found out about the ultimate arms and armor in my campaign. Real kick ass stuff. Man, he was virtually slobbering all over himself.
I used this a carrot for quite a while and then allowed him to acquire the artifacts. When he donned the stuff, he found out that he was the new scion of ultimate law - The Champion Eternal (with due thanks to Moorcock for the idea

). He got to keep his character but was forced by the artifacts to go after endless quest after endless quest.
Everytime he complained (which was constantly), I would remind him that his efforts to be the biggest and baddest ass in the campaign world was grooming him for the ultimate role in that campaign world - to him that much is given, much is expected and now he had a destiny....
Totally torqued this guy off - he was the ultimate mortal but had virtually no say over his destiny. The only way I would allow him off the hook was for him to forswear his destiny in the largest temple of ultimate law - which he did. Gone were the artifacts, plus a number of his other magic items, plus some levels......and an alignment change to chaos.
He finally got the point and was much better in the next campaign.
My other method was a NPC I simply called Mongo. Mongo was whatever I wanted him to be. Mongo was a legend. Everyone heard of Mongo's exploits.
I would pull Mongo out whenever someone let the power and items go totally to their head. When they started their chest beating 'look how bad ass' display, they would be told that 'Mongo was better', 'Mongo can take you with one hand behind his back', and other such inflammatory statements.
Eventually, the character in question would feel that the world is not big enough for Mongo and themself. 'There can only be One' as one munchkin would tell the other players. They would try to find Mongo. They would publicly defame Mongo. Other NPCs would advise them that only idiots with a death wish willingly sought out Mongo or would diss him.
After letting this go on for some time, they would finally get to meet Mongo. Mongo was essentially the same as the character except he had alot more levels, attribute points, and magic items. Mongo had blown of so many wishes on this and that , that he was virtually invincible.
Then Mongo would hand the character's ass back to him on a platter. When the player whined about the demise of his character, I would simply remind him that he was the one who travelled the country with a huge chip on this shoulder, looking for Mongo (and calling Mongo out) just so that he could try to be the ultimate character in the campaign. 'What are you complaining about - you called out the best of the best and you didn't measure up....' I would tell the whiner.
After Mongo made an appearance or two in several campaigns, the munchkin players would learn to be humble..... particularly if they found out that their insistent bragging was heard by some guy called Mongo ......who was looking for them...... and he didn't look happy.
I have not had to use Mongo in a great many years, but my real long time players still remember him with 'almost' fondness