Nope. I may have a character who I roleplay as being similar to me, or I may roleplay myself alongside my own character, but I don't create characters actually based on me. For example, in my current game of Oblivion my character is a young female Bosmer with red hair and a penchant for archery and sneak thieving. She's a good person at heart and is currently working as a Fighter and Mage, but is more than willing to get her hands dirty if the situation demands it (and is contemplating joining the Dark Brotherhood and Thieves Guild). I, on the other hand, am a 22 year old male with dark hair and although I'm a good person, I'm a bit too good. If I was playing myself in Oblivion I wouldn't touch the 'evil' guilds with a bargepole and would probably have finished the main story quests by now without bothering to do half the side stuff.
That being said, I'm also imagining when I play that I myself am a fellow adventurer teamed up with the character I control, and that we as a pair are travelling across Cyrodiil on mutual jobs, simply to earn our living as mercenaries/Blade Knights xD