Katy Perry's "Waking Up In Vegas" has a rather bizarre version. In the video, Perry plays a woman tooling around Vegas with her boyfriend. They hit a run of good luck, then a run of bad luck. You could reasonably assume that some random woman wouldn't be able to phone up Perry's agent or whoever and ask for more money, but the character actually plays some of Perry's songs on her conspicuous phone, including "Waking Up in Vegas." Complete with album cover. During a poker tournament, the woman's name subtitle reads "Perry." Presumably, the music video for the song hasn't been released yet, or the character hasn't seen it yet, or it's much different from what it is in this world, and the character just happens to be named "Perry" and looks and sounds a lot like Katy Perry. Incidentally, the boyfriend is played by Joel David Moore, from the Bones/Avatar example above.
Gorillaz has a particular example where they are well aware of their animated nature, actively sharing our universe. You have the many guests that work with them, whose identities are often altered to fit within the band's storyline, but then you have to wonder if these collaborators are that new identity, or if their real persona is somewhere out there. It's even an established fact that their creators Damon Albarn and Jaimie Hewlett are existing people, but aren't referred as such, jarring knowing that Albarn's is the main singing voice behind the band.
David Bowie's Concept Album1. Outside plays with this via "The Diary of Nathan Adler", a short story setting up the album's plot and characters (played by Bowie) and "written" by one of them. The album was recorded in 1995 and set in a 1999 where "art-crime" runs rampant; in a brief history of the shocking art (performance and otherwise) that paved the way for this trend, Adler not only mentions Real Life artists such as Chris Burden and Damien Hurst, but notes that in The Seventies "Bowie the singer remarked on a coupla goons who frequented the Berlin bars wearing dull surgery regalia..." No first name is given, so this singer may or may not be David (who did live in Berlin for a time in the late '70s)...
Billy Joel's video for "Uptown Girl" has him playing a mechanic in a ca. 1960 garage who, at the beginning, is watching Joel's video for his previous single, "Tell Her About It", which was represented as having been performed on the The Ed Sullivan Show. So, the video is obviously taking place in an alternate universe wherein Billy Joel is much older than he is in our universe, and would thus probably look much different in 1983.
Feist's video for "Mushaboom" starts out with Leslie Feist waking up in an apartment and singing along to the song itself on the radio while going through her morning routine. It's ambiguous if this is supposed to be Feist singing along to her own song, or just a fan who happens to look and sing exactly like her.