You may find the extended lore of the Elder Scrolls games, of all things, to be interesting in relation to this subject. There's a lot of philosophical prodding at the idea of "world and identity as illusion", and at the nature of characters in fiction, and the ways those two concepts interrelate.
It's ultimately not all that deep, but I'm fairly sure it's the only top-selling mass-market video game series to touch on the concept in even that much depth.
http://www.uesp.net/wiki/Lore:CHIM
http://www.uesp.net/wiki/Lore:The_Monomyth
http://www.uesp.net/wiki/Lore:Spirit_of_Nirn,_God_of_Mortals
It's ultimately not all that deep, but I'm fairly sure it's the only top-selling mass-market video game series to touch on the concept in even that much depth.