The Brady Bunch Movie: Greg, an exaggerated example who is portrayed as a geeky, clueless loser but thinks he's a real ladies' man. He also believes he is the next big rock star, Johnny Bravo. (This is in direct contrast to the original TV Greg, who truly was one of the BMOC, and who also rejected Johnny Bravo as a manufactured Teen Idol gimmick.)
Anchorman: The Legend of Ron Burgundy: Ron Burgundy is a regional newscaster for San Diego, the 28th largest media market in the United States. He seems to believe that he's some sort of broadcast superhero, however. The rest of his news squad all have shades of this as well, with the possible exception of Brick.
Count Dracula gets a monologue like this in Dracula: Dead and Loving It: "They are fools to think they can match wits with me! Me who can control the forces of darkness! Me who has commanded the creatures of the night to do my bidding!" (says the guy who got knocked out of his hiding place by an old Englishman slamming a door) This is the same ancient evil who cannot rise from his coffin without banging his head on the chandelier.
Edward Lionheart in Theatre of Blood, a Large Ham of epic proportions who believes himself to be the greatest living stage actor of his time. He believes it so much, in fact, that when the London Critics Circle gives its Best Actor award to someone else, he first attempts suicide and, when that fails, tries to wipe out the Circle instead. Quintessentially demonstrated when he kills one critic a la The Merchant of Venice, actually cutting out the man's heart. As one of the critics remarks, "It's him all right. Only Lionheart would have the temerity to rewrite Shakespeare!"
Skeletor of the 1987 filmMasters of the Universe. When Skeletor (played brilliantly by Frank Langella in one of the best examples of the "Ham and Cheese" trope) finally gains all the "forces of Grayskull, all the powers of the universe" and dons a rather impressive-looking gold armor, he actually doesn't gain any more power, nor is he able to vanquish his nemesis, He-Man. He often berates his underlings for their incompetence even though he is guilty of it himself.
Alonzo is Training Day. He believes he's an untouchable narcotics officer with powerful connections. It's this belief that leads him to killing a man in Vegas with a big name and getting himself in trouble with the Russian Mob whom ultimately kill him.
Kid Omega/Quill from X-Men: The Last Stand, who genuinely think he's threatening to Magneto at the gathering of mutants when he extends his quills. His sole kill in the movie is killing a single, crying woman by giving her a hug then extending his quills. Then he gets killed in an action that could be charitably called an afterthought.
Pirates of the Caribbean: Jack Sparrow... excuse me, Captain Jack Sparrow, plays with the trope. Amongst pirates he's actually quite well known, and in fact carries one of the Pieces of Eight, marking him as a Pirate Lord, but to basically everyone else he has to introduce himself. Even to people who should know who he is, but that's largely due to the fact that he doesn't visually live up to his reputation. But by Neptune's beard does he ensure everyone knows who he is and what he thinks he's capable of, whether or not he's actually capable of it.
Captain Smek from Home thinks himself to be a competent leader but is in fact too stupid to realize he isn't as competent as he likes to imagine himself.