I did play in a game where we played ourselves once, and it's possibly my favorite campaign ever.
To begin with, character generation consisted of sitting around for a few "sessions" talking about our lives. We talked about the three most significant events in our lives, our favorite stories, our first loves, our greatest fear, our greatest hope, our ideal society, etc. It was really interesting.
The game used White Wolf rules, so we talked about which WW critter we'd want to be: vampire, werewolf, or mage (only those books were published when we played)? We each described our choice.
We statted ourselves up, with input from other players. I think I ended up with a lot of smarts, some pathetic constitution and strength, decent dex, and middling social skills. I had points in occult, knowledge (science), knowledge (politics), and expression (basically the catchall skill for written and oral communication).
Finally we played the first session of the game at the local campus student center. Paul, the GM, described us going to the student center where we were currently sitting, but described us waiting for Paul. He was late. Then (Paul described) we finally saw him walking up the stairs toward us, with a pretty and slightly scared woman walking up behind him. As he approached the top of the stairs, two men in black suits walked purposefully toward the stairs; the woman let out a little shriek; one of the men pulled a knife; Paul, confused, stepped between the woman and the knifeman; and Paul got stabbed through the chest.
Thus the greatest campaign I've played in began with us roleplaying our reactions to witnessing a dear friend's brutal murder. It was fun

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Daniel