In Dragon Age: Origins, King Cailan establishes himself as a great admirer of the Grey Wardens, and expresses his eagerness to fight alongside them to defeat the darkspawn like in all the stories he has read. Unfortunately for Cailan, Dragon Age is not that kind of fantasy. Anybody who has read A Song of Ice and Fire and is aware that it was a great influence in this game will dub King Cailan "King Redshirt III" after hearing him speak for about 10 seconds.
Vampire: The Masquerade – Bloodlines has a few cases where characters new to the supernatural side of things think the world they are in works by common horror tropes. Most notable would be one of the thin-bloods, who thinks a full blood transfusion or killing the head vampire can cure him from vampirism. The player can milk his gullibility for all it is worth. Another example would be when you get a mission to keep the zombie population at a local graveyard under control for a bit.
Flynn: Sorry love, but this isn't a movie. And you're not the plucky girl who reforms the villain and saves the day.
The character Linkle in Hyrule Warriors. She fully believes that, due to the stories her grandmother told her as a child, that she is the reincarnation of the legendary Hero. She isn't. Link, as always, is the actual reincarnation of the Hero's Spirit. That said, she isn't worthless, as while she isn't the Hero, she (unknowingly) makes for a fantastic Sidekick who ultimately gives the support needed to help save Hyrule. Poor gal never does meet Link though.