Konata from Lucky Star plays so much eroge, she thinks that she's living in one— despite this being a Slice of LifeSchoolgirl Series. She sometimes changes the game genre she believes she is in depending of the situation, but still doesn't get it right.
Most of the characters in Genshiken are major otaku and treat life like an anime or video game, just not the Slice of Life anime they're actually in. Madarame, unsure how to relate to women, visualizes life as a Dating Sim, and beats himself up about it when he realizes it.
Edo Phoenix of Yu-Gi-Oh! GX thinks he's The Hero. In fact, he practically thinks he's Batman... in a shonen anime. He initially sets out to defeat Judai, thinking he's the enemy. Then when Judai is getting ready to defeat the Big Bad, Edo rushes off to fight him, believing he will win because of a promise he made, not realizing he is notThe Only One Allowed to Defeat You.
Berserk is a Seinen fantasy manga that contains orgies of violence and sex, of both the consensual and non-consensual types. Despite this, Isidro seems to have convinced himself that he's not only in a Shōnen manga (which are generally idealistic and where good always triumphs over evil), but thinks he's the main character. Suffice to say, if it weren't for the fact he's the Plucky Comic Relief, he probably would've died a long time ago.
Haruka Akashi of Kamen Tantei is a huge mystery buff and aspiring mystery author who keeps running into mysteries. So far, so good. Unfortunately, she's a "fair play" mystery fan trying to apply "the rules" of such to a world where psychic powers, ghosts, All Just a Dream endings and fictional characters come to life are regular occurrences.
Pretty much everyone in Hayate the Combat Butler. Nagi thinks she's in a shounen manga in a case of First Girl Wins. Most of the rest of the cast thinks they're in a genuine action series instead of a parody. Sakuya comes the closest by realizing she's in a comedy series, but even she has the style of humor wrong.
Darker Than Black: Genki Girl secretary Kiko appears to be completely convinced that she lives in a shojo comedy. She doesn't. It also gets sort of turned around in the OVA, since it parodies the main series; Mayu has exactly the same ideas as Kiko about what genre she's living in, and starts stalking Hei because she thinks of him as a romantic hero. Hei and company spend so much time dealing with crazy Spy Versus Spy plots and counterplots that it never occurs to them that Mayu might be following him due to nothing more than a huge crush and start speculating that another, previously unknown organization is after them, briefly making them Wrong Genre Savvy.
In the third episode of Ouran High School Host Club, Tamaki identifies the show as a high-school romance anime, calling himself and Haruhi the main pair destined to be together - not too far off the mark so far, but then he identifies the rest of the club as "the homosexual supporting cast". This last remark inspires Kyouya to show him up by coming up with a better plan to save Haruhi from being exposed by the physical exam and saying "I just don't think I'm supporting cast, homosexual or not."
The protagonist Sugisaki Ken from Seitokai no Ichizon is this. He seriously believes that he is inside a H-Game, always says that the student council is his harem, always getting downplayed by Kurimu: "This is not a harem, it's the student council!". "Don't be ridiculous. I don't think I'm in a dating sim. In a dating sim I get all the girls! Have you ever seen me with a girl?" Yep, that'll show her. Still spends too much time looking for flag events though.
Minor example from the second episode. The main character fires off his Rocket Punch, expecting it to fly back to him afterwards. It doesn't, and he even screams out "But don't these things usually come back?!"
Notably played with when the protagonist starts off a fight after freshly receiving an upgrade by using his rocket punch...and missing terribly. The villain laughs at him for his stupidity, leaving them wide open for the fist to fly back towards him and drill a hole straight through, coming back to rest on Gaiking's arm once again.
Early into the plot, Nouza, and late into the plot, Proist, don't really seem to 'get' the story's main themes (In particular, that unfaltering determination is more potent than raw power). The former changes sides, whereas the latter... well...
Rotton in Black Lagoon seems to believe he lives in a much more idealistic series. One that allows In the Name of the Moon speeches. Wearing a bullet proof vest: Good idea. Basing all your fighting on trying to be cool: Bad idea. You're not supposed to try.
Winner in Karin thinks he's the star of a Shounen vampire hunter series. Unfortunately for him, he's a side character in a Rom Com.
HeartCatch Pretty Cure!: Kumojacky is an outrageously hammy and Hot-Blooded character who believes in the power of his own inner strength and loudly declares that any problem can be solved through the sheer grit and determination of your own burning spirit. He also thinks that the only kind of friendship worth having is the kind forged through mutual respect of the other person's strength. In short, he's the kind of guy who would fit in perfectly with any group of Shonen action heroes (or anime bookshop owners)... But he's stuck in a Magical Girl show that more or less runs on the Power of Friendship / Power of Love, and thus his clashing ideals default him directly to a villain role.
In Sayonara, Zetsubou-Sensei, the character Mayo Mitama is an "evil looking girl" who likes to commit acts of ultra-violence. However, even when she does these things in front of/to people, they refuse to suspect her due to Wrong Genre Savvy. Going by the logic of detective stories and most anime using Face of a Thug, she can't be evil because "no one who looks so obviously evil could actually be evil" (because it wouldn't make for an interesting story). The problem is, Mayo's name means "exactly as she looks", and she's really is an example of Obviously Evil.
In Nana to Kaoru, the student council president complains that the main character's "got a secondary character's face!" The poor guy doesn't realize he's in an Ecchi, Ugly Guy, Hot Wife comedy. He's also absolutely dumbfounded at Kaoru's sad, depressed resignation about Nana being way outside of his league, expecting some form of argument or fight.
Peorth in Ah! My Goddess manages to pick up that she's in a Magical Girlfriend series, but initially fails to realize that she's not the main love interest, and at one point seemed under the impression she was in a Hentai manga.
Musashi Tomoe in the Getter Robo manga clearly thinks he is in the Lighter and Softer anime adaptation. When he claimed a strong fighting spirit is everything that is needed to pilot a Getter unit Ryoma and Hayato wondered if he was serious. Fortunately for him, being Hot-Blooded still helps when piloting Getter Robo.
Drosselmeyer has no understanding of Post Modernism. He writes the story as a conventional tragedy, viewing himself as the guiding hand rather than a character in his own right, not realizing until the very end just how thin the fourth wall really is.
Rue, who knows of Drosselmeyer's role and knows he intends for a tragedy ending, assumes that he intended for a tragedy in the sense of The Bad Guy Wins as a result of heroes failing to overcome their flaws, meaning she'd get to keep Mytho to herself. In fact, Drosselmeyer's vision of a tragedy involves screwing over both the heroes AND the villains, something she learns the hard way.
Sogiita Gunha from A Certain Magical Index thinks he's the hero of a Sentai anime. Not only is this series much more mature and complicated than that, he's not even a main character.
Combined with Aliens Steal Cable in Rinne no Lagrange - one of the Human Aliens in one episode watches a samurai movie and mistakes its events for some Earth tradition he then tries to repeat to challenge Madoka for a duel. Surprisingly things work exactly like he is expecting them to, but for different reasons and he accidentally convinces girls at Madoka's school that he is her boyfriend.
One of Hibiki's friends from Senki Zesshou Symphogear likes to point out when people act like anime characters, which she treats as unusual, because she doesn't realize she actually is in an anime.
Keima gets all his experience from Dating Sims, so he falls into this when he gets into situations outside his experience. For example, Haqua is a tsundere who is obviously in love with him. But in Dating Sims, the girl pursuing the boy is a trap for a Bad End, and must be avoided at all costs, so he barely even notices.
His misplaced experience also kicked off the entire plot. He unquestioningly accepted a Deal with the Devil to "capture girls" because he didn't even know demons existed and didn't think anyone would ask him to go after real girls, so he assumed that someone was challenging him to beat a Dating Sim.
In the Area 88 manga and OVA, Ryoko seems to think she is in a romance story instead of a war story. She places great faith in the power of love and is determined to reunite with Shin, oblivious to why he would be at Area 88 in the first place and how war might have affected him. She gets heartache in spades for having this attitude.
Full Metal Panic!: Being an action movie buff, Kaname Chidori generally knows what sort of war antics she's going to fall into as part of her friendship with Sousuke. However, she doesn't quite appear to realize she's in an action anime, so she still gets blindsided by the more anime-esque aspects of her new life. For example, upon first meeting the captain of Tuatha De Danaan, a painfully cuteteenage girl, she has this to say:
Most of the main cast in Kitabuku Katsudou Kiroku. Despite being aware enough of the fourth wall to communicate to each other via overhearing each other's internal monologues as a makeshift telepathy, everybody except the Straight Man character is clueless. They know they're in a gag anime, but none of them think it'll last, so they're preparing themselves to be in a fighting anime, or an anime about social and political games, or an anime with lots of fanservice in it.
Eren Yeager from Attack on Titan finds out the hard way (very, very hard) that he doesn't live in a shonen series where guts and determination are all you need to take out giant Lightning Bruiser man-eating titans. AOT is a shonen series, yeah, but it's FAR Bloodier and Gorier than you'd expect.
Mikoshiba thinks more along the lines of a main character in a visual novel rather than a supporting character in a shoujo parody, not to mention that he is the inspiration for a traditional shoujo heroine.
Wakamatsu often uses tactics only seen in old-school shoujo genre manga in order to solve his problems with Seo. Of course, they tend to backfire.
Wakamatsu: Senpai...where did I go wrong...? Nozaki: ...Probably from the moment you started using shoujo manga.
Even Nozaki himself was guilty of this in Chapter 8, when he plays a Dating Sim with his usual Shoujo Genre mangaka mindset. Mikoshiba called him on "using a girl's viewpoint to play a galge." Of course, Mikoshiba is also guilty of this in the same chapter—from when does a Shoujo Genre mangaka suddenly become an expert on male-oriented Dating Sim?
Marika from Bokura no Hentai thinks like she's in a 70s shojo manga. She is not and her idealistic, soft attitude gets scrambled pretty quickly. For example when Ryousuke grabs her hand at school and drags her off to a secluded area she thinks it's so romantic.. When he pushes her across the wall and tells her not to tell others his secret, and act like they've never met, and tells her he'll kill her otherwise suddenly it's far less romantic..
Chihayafuru: In one of Sumire's Establishing Character Moments, her friend tells her that Taichi is way out of her league, and Sumire smirks and responds that in actual fact, her slightly above average looks make her perfectly fit the position of a Shoujo Genre manga heroine! And she even has an overly pretty girl in Chihaya to be her rival! She also tries to invoke it later on, telling Taichi that she doesn't mind standing on the train because other people might need to sit more than her in order to put on a sweet Naïve Everygirl image. What Sumire doesn't seem to realise is that Chihayafuru is Josei, not Shoujo, and rather than being a romance, it's actually a sports manga, albeit one with strong romantic elements.
Takumi Aldini in Shokugeki no Soma is very well aware that he is the main character's rival, and has all the attributes needed to be a classic Shounen manga rival. He just hasn't twigged to the fact that he is in an Ecchi cooking comedy set in a high school rather than a Shounen high school action series, and that Soma has several rivals who are more dangerous to him (Takumi is on the list, sure, but he's more like number five or six, rather than number one).
In the first chapter Keiichi's escalating paranoia and schizophrenia makes him believe that he's in a horror story where the seemingly peaceful residents of an isolated country town butcher a newcomer- i.e, him. He's correct about the genre, but his idea of who the antagonists are couldn't be more wrong. Mion and Rena are trying to save Keiichi, and their reasons for lying to him are entirely harmless. In fact, they're in as much danger as he is.
Rika believes she's in a tragedy, where her friends' inability to overcome their distrust and hatred will inevitably doom them. This belief, more than anything else, is what delays their Character Development and eventual happy ending.
Miyo believes that Oyashiro is a wrathful god of death and bloodshed, who punishes heretics. In reality, Oyashiro is just the spirit of a deceased human- no better or worse than anyone else- and holds very little power.
Yu-Gi-Oh! ARC-V has several characters, including the main protagonist, think that they're in a regular Yu-Gi-Oh! show and not a deconstruction. Also, several characters in the Synchro dimension haven't yet caught on to the fact that the inter-dimensional war is real and that the threat of invasion is a little bit more urgent then rising up against the unfair class system.