Will Ferrellusually plays this type of character, portraying a Small Name, Big Ego in nearly all his movies; Ferrell has described three recent films of his as the "morons with unreasonable confidence" trilogy. Whether they're full-on Small Name Big Ego characters is arguable, though: despite their idiocy, most people accept them as very good at what they do, outside of the occasional antagonist or "reality check" character—and indeed they are very good within a limited range. Just be ready for the Reason You Suck Speech.
To the point where Ron Burgundy's dog in Anchorman is named Baxter.
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.
Similarly while he is certainly vain and pompous, he doesn't pretend to be a hero or anywhere near as brave as people think he is. When Jack calls him a coward, he all but agrees with the assessment.
The Commitments is all about getting ten of these characters together and starting a band.
Jason in Mystery Team can act like this some time.
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 1986 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.
"Baby Jane" Hudson of Whatever Happened To Baby Jane believes loads of people would love to see her make a comeback. In reality, she's a long forgotten, One Hit WonderVaudeville performer, and the world has left her far behind.
In Save Your Legs, Stavros derives an immense sense of entitlement from being the Anglers' best player; so much so that he only shows up at half the matches.