Taiga Fujimura from Fate/stay night seems to think she is the protective mother/older sister of a romantic comedy for Shirou, (as evidence by her objections to Saber and Rin staying at the Emiya home in the Fate route) but she is, in fact, dead wrong, especially when she gets shown the exit door to allow more serious discussions.
Umineko: When They Cry - Good news: Rudolf is enough of an old Western buff to have gotten to know how to use a lever-action shotgun to massacre the rival siblings on the island. Bad news: he's in a mystery novel and forgets to make sure everyone's dead, or take all the extra guns.
Red, a potential love interest in Nameless - The One Thing You Must Recall -, lives life like he's in a color-coded Sentai show, despite being in a Romance Game.
Nine Hours, Nine Persons, Nine Doors: Junpei thinks that he's in a romance story, and that he should persevere against all odds to win over his shy, sensitive Childhood Friend. Unfortunately, the series' protagonist is Akane, not him, and she's not the compassionate girl he remembers. In fact, she's an Anti-VillainWell-Intentioned Extremist who is perfectly fine with murdering others to accomplish her goals. The story itself is more like a mystery/sci-fi series, with a touch of horror. Ultimately, Reality Ensuesand Future!Junpei ends up lonely and embittered because he wasted his whole life Loving a Shadow.
The protagonist of School Days, if played a particular way, seems to believe that he's the protagonist of a Porn Without Plot harem series, where he can screw all the girls he likes and never face any consequences for it. Doing so inevitably leads to a Bad Ending, though, as the characters do NOT like having their feelings toyed with and make this disturbingly clear.