Here's some examples:
In Die Hard, the English actor Alan Rickman plays the German Hans Gruber, who in turn briefly pretends to be the American Bill Clay.
At one point in The Dictator, Sacha Baron Cohen as the Dictator has taken the place of his Double. So Sacha is playing the Dictator, pretending to be the Double, pretending to be the Dictator.
In Tropic Thunder, RDJ is playing the Australian Kirk Lazarus, who is playing Lincoln Osiris, who at one point is playing the role of the Lead Farmer
Anyone have more (and better) examples of this?