In the second volume of The Invisibles, a redneck in a diner is giving Lord Fanny, the Brazilian transvestite shaman, a hard time. In response, King Mob grabs the man's groin (and not in a good way) and gives us the speech shown in the main page of this trope. At first the redneck apologizes, but then he decides to attack King Mob anyway, and thus we get to witness the other trope invoked by King Mob in his little speech.
In "Sheriff of Bullet Valley", Donald keeps comparing the present situation to various Western movies he's seen, resulting in his getting everything backward and inadvertently helping the villains.
In one European comic Pete and Commissioner O'Hara are forced to join forces to make it clear to the former's wife and the latter's superior that they don't live in the world of Cowboy Cop action movies.
There were two Batman villains who went by the name "Film Freak", and both were defeated (and in the case of the first one, killed) because they thought life would play out like a movie. Of course, it was a comic book.
In Fun Home, Alison considered herself the heroine of a Coming-Out Story, until she finds out about her father and realizes she's only the comic relief to his tragedy.
When he is guest starring in more optimistic comics like Spider-Man, The Punisher clearly thinks he is still in his own series, which is far more on the cynical side of Sliding Scale of Idealism vs. Cynicism. Which is why he usually ends up as a villain. On the other hand many super heroes appearing in his comics also seem to think that they are still in their own series and often end up humiliated in various ways.
In one Dilbert strip, Dogbert finds a magic lamp and summons the Genie in a Bottle. He expects it to grant him three wishes but the Genie says they don't have a contract and turns him into a wiener. At least it was an experience he could relish.
A journalist discovers that certain New York residents seem to have been living for centuries without aging. He believes them to be vampires. The residents of Fabletown decide to play along and convince him he was mind-controlled by them and forced to have sex with a little boy (in reality they knocked him out and took some suggestive photos with him and Pinocchio) and if he tells anybody their secret, they'll send the evidence to the police.
Later on, to deal with a Big Bad, Pinocchio put together a Super Team of powerful Fables. Word of God is that the Super Team would have been toast.
Plutonian, being a Captain Ersatz of Superman, is expecting things to turn out in his life like they do in your average Superhero comic. The problem is that he is not in your average superhero comic, but a Deconstruction of one. This actually plays a part in what leads to his Face–Heel Turn, after which he becomes dangerous.
Max Damage, from sister title Incorruptible, has a similar problem - he is smart enough to realize that the best thing to keep a reformed supervillain like himself from sliding back to his old ways is to get a Morality Pet, so he gathers several people who serve him as those. However, he doesn't realize that he is in a deconstruction either, so most of his new friends get broken in one way or another.
Gilgamos had become this, when he killed Survivor. He presented a perfectly reasonable explanation why he did it that proved he knows the tropes of the world he lives in very well, but was not savvy enough to consider that Cary and his siblings may not share the same power, but his power - by killing him, he just depowered his brother, instead of empowering him.
In the DC Comics event Trinity, Primat of the Dreambound seems firmly convinced she's a romance heroine, rather than a member of the Quirky Miniboss Squad. This doesn't limit her effectiveness, but does mean she tries to chat up opposing heroes even as she fights them, which would be disconcerting even if she wasn't from Gorilla City.
In FoxTrot, Jason is like this all the time. His attempts to apply the rules of popular culture, fantasy, and science fiction to reality usually get him humiliated at best or injured at worst.
In PS238, a Superhero School exists beneath a normal elementary school, with the students able to mingle during lunch and recess. One of the normal children, Cecil Holmes, realizes that there's something weird about the kids from some of the other classes, but incorrectly believes that they're aliens instead of Differently Powered Individuals. To be fair, Tyler purposely threw him off track.
A subtle example in Scott Pilgrim. When Scott faces Nega-Scott (a shadowy doppleganger who manifests himself during troubling moments for Scott), Scott fights under the belief that if he beats Nega-Scott, he can move on from the past (the savviness comes from Nega-Scott being inspired by Shadow Link, something not unexpected in a world with video game physics). However, Kim tells Scott he can't run from his mistakes and he needs to accept them. Nega-Scott being a manifestation of Scott's mistakes and Scott's reluctance to confront his fault in them (though Gideon's tampering of his memory also contributed heavily, meaning it was partially an inability to do so. Scott finally acknowledges this and absorbs Nega-Scott.
In Southern Bastards, Earl thinks he's in a Clean Up the Town story as the lone guy to take down Euless Boss, the football coach who runs the town and even gets a bat left by his father to do it. Instead Boss beats Earl to death in the middle of the town and gets away with it as no one is strong enough to testify against him.
In flashbacks, we see the young Euless was a weak would-be football player taken under the wing of blind Big. Big plays the role of Magical Negro to teach Boss how to be a better player, thinking he's the Eccentric Mentor to help Euless escape his criminal father and be a better man. Instead, Euless takes the lesson to be "let nothing stand in your way," agreeing to kill his father in exchange for a crime lord arranging him to be coach of the team and when he muses he'll have to kill the crime lord too, Big realizes he gave the boy the tools and drive to be a monster, causing a literal My God, What Have I Done?.