We are talking about lucid dreams, do we?
Never been a video character in a LD but i remember being Samus Aran in normal dreams a few times (including turning to a morph ball).This seems to be popular.
I once met Super Mario at the beginning of a LD. I asked him where i can find person X. He told me to take the tube behind him. After i had entered, the 2nd part of the LD began in a less bizarre environment.