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.
Most or even all of the Watchmen heroes might be said to be this, except perhaps Dr. Manhattan: The Comedian acted like the hard-bitten, jaded "hero" (or protagonist, at least) of a cynical, realpolitik cold war spy story, but comes undone by the horror he discovers and grimly awaits his own murder; Rorschach thinks the heroes are being picked off by an old villain turned far more deadly, back after years for revenge, and if he was in one of the Dark Age of Comics imitations spawned thanks to this series he might be right; Nite-Owl wants to act as if he and Rorschach can be Silver Age heroes again and save the day, their past failures and brutality redeemed by noble victory—but he's in a deconstruction; Silk Spectre's entire worldview is upended by the story's conclusion; and Ozymandias is perhaps the most deluded of all, insisting he's not a comic-book villain. Technically, he's right, but neither is he a Antivillain doing a terrible thing for the Greater Good: Adrian Veidt is a desperate idealist turned Knight Templar, his plans likely to be undone at the end of the story, and it's implied it may have all been for nothing anyway. Dr. Manhattan, though not completely in the right, is the most aware of the futile story they're actually in.
Manhattan: We're all puppets, Laurie. I'm just a puppet who can see the strings.
In a Judge Dredd comic, a perp tries to escape from Dredd by jumping into what he assumes to be a laundry chute, but ends up being a waste disposal unit.
In the Donald Duck comic book "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.
Garth Ennis: Crossed features many characters thinking like a "normal" zombie or invasion movie, not realizing it's a Garth Ennis comic and the butt-raping zombies will get you no matter how clever you try to be.
In Ennis' earlier Hitman story, "Zombie Night at Gotham Aquarium," Hacken also thinks he's in a "normal" zombie movie, and thus takes swift, decisive action after a bite from a zombified animal, hackin' off his arm to avoid infection. Unfortunately for Hacken, this particular branch of DC UniverseWeird Science does not work that way, so it turns out that Hacken cut off his own arm for no good reason.
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.
Early in Fables there was a journalist who discovered that certain New York residents seemed to have been living for centuries without aging. He believed them to be vampires. The residents of Fabletown decided to play along and convinced 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 told anybody their secret, they's 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.
Max Damage, from sister title Incorruptible, has a similar problem - he is Genre Savvy 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 Lex Luthor: Man of Steel, Lex Luthor is convinced that he's in a Deconstruction of the superhero genre where the superhero who is loved and admired by all turns out to be an uncaring and aloof Smug Super who doesn't care about the little people underneath him, or even a villain hiding in plain sight. Thing is, while Lex is correct that he's in a deconstruction, it's not a deconstruction of Superman — it's actually a deconstruction of supervillains like him.
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.
The Incredible Hulk when he appears in the Deadpool story arc Operation Annihilation, assumes that when Deadpool is attacking him, that he was hired by somebody to provoke him into a trap. In truth, Deadpool is acting on his own trying to provoke the Hulk into killing him, but even when he tells Hulk that nobody hired him, the Hulk still assumes it's part of some more elaborate scheme. Later in the same story, some somewhat Genre Savvy soldiers see the Hulk rampaging and guess that Deadpool is the cause of it. They guess right, but when they see Deadpool in a bus full of children, they assume he's taken them hostage, when he was actually trying to rescue them.
Hunter Zolomon in his persona of Zoom from the The Flash. He's convinced that he's a Stealth Mentor / Anti-Villain that helps heroes grow stronger by making them experience personal tragedies. In truth, he's delusional to the point where he qualifies as legitimately mentally ill, and is as much a danger to heroes as any fullblown villain is.
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.