This trope is half of the premise of the "pretty cool guy" Internet meme (the other half being the poor grammar), with the original example "I think Halo is a pretty cool guy. Eh kills aleins and doesn't afraid of anything" intentionally conflating the video game series itself with its protagonist, Master Chief.
Arby 'n' the Chief contains an in-universe example: When reviewing Goldeneye 007, Master Chief says that you find out that James Bond's partner, Alec Trevelyan (whom he identifies as Alex Trebek), is actually a villain named Goldeneye. He tries to rationalize this assumption by saying that the character intends to blow up the Earth "with his golden eyes."
lonelygirl15 is a semi-example; technically, lonelygirl15 is the main character (Bree Avery), since it's her screenname, but she is never called that in the series itself. Neither Sarah nor Emma should be referred to as lonelygirl15, however.
There is no character in KateModern who is actually called "KateModern". There is a character whose screenname is "MyKateModern", but that belongs to a minor character, Sophie. Kate's screenname is "AbstractHeart". The series name is a reference to the Tate Modern art gallery, and the fact that Kate is an artist. Note that the show itself is not entirely consistent on this, with a character at one point referring to her as "KateModern... whatever".
The man behind the "Gaming in the Clinton Years" videos is known as "navgtr" in some works. His name is actually George Wood, and navgtr (or NAViGaTR) stands for "National Association of Video Game Testers and Reviewers."
Parodied somewhat in the Homestar Runner cartoon "The Animated Adventures of Puppet Homestar", in which the narrator (Strong Sad) refers to the puppet as exactly that. No, not "Puppet Homestar"; "The Animated Adventures of Puppet Homestar".
The star of the highly popular Touhou remix flash video "Marisa Stole the Precious Thing", is not Marisa. Her name is Alice Margatroid, Marisa is the one who stole from her.
Though we all know the star is really Patchouli Knowledge. Margatroid is just singing Patchy's song to keep from being murdered in her sleep by a ticked-off mage.
The creators of Marble Hornets refer to the monster of the series as "the Operator" rather than "the Slender Man". No-one actually uses either name in-series - they stick to "a tall guy in a business suit" or "Oh God, what is that?!"
Ana Marie Cox, the founder of political gossip/news blog Wonkette, often gets called "Wonkette" even though she hasn't wrote for them in years.
Enter The Arena As Your Avatar: According to Imca, the robot planning to turn the Elder Scrolls world into a world suitable for colonization is not called Prometheus. The robot is called Jeager and Prometheus is the ship it was came in.