I do agree with WB on what's essentially being said. Using the idea of placing yourself into a piece of writing is experimentally interesting, and I'll add that it does give the writing an extra psychological layer, going off the work that we assume a piece of fiction is what a writer re-organises out of dissatisfaction with their real life. With the backdrop of a conventional narrative, one based around beating or succumbing to external or internal conflict, this is now speaking on a different topic about the writer's life that they are attempting to control - and how the fiction plays out decides whether or not they manage it.
Doing all of this requires a great deal of thought though like WB says, because you're also expecting several things out of the reader then too. Writers need to think about how using the technique can enrichen the story, rather than just give themselves a role that seems flat, out-of-place, and most of all, downright uninteresting (or possibly hypocritical/unlikable/etc. - see links below).
One of my favourite examples of using this in combination with having moments of fourth wall breaking is John Fowles' The French Lieutenant's Woman, which I certainly recommend. Written in the late '60s, the novel works as both a tribute and a parody of nineteenth century English literature, comparing and contrasting some of the assumptions and elements of that society with those of Fowles' time, particularly on the topics of feminism and the development of science. The most striking instance of the technique's use is at the end of chapter 12, which ends on a question of sorts. When chapter 13 opens, Fowles basically says he doesn't have an answer yet, and that the whole story has been made up by him; he even tells us what his original notes for chapter 13 said. He appears as a character in the story once or twice (possibly three times, haven't read it in a while) towards the end - and it makes sense considering he's come clean about his story... although we knew it was fiction anyway! The reason why it works is because it brilliantly is written above: that it establishes a direct playing with nineteenth century principles with those of Fowles in the late '60s.
In another clever moment, there is a sex scene where Fowles, in a way, admits that he can't write good erotica (it's done more subtlely than that, but you get the idea). His answer? He just copies a section from Fanny Hill, one of the classics of erotic fiction. Why? Because he can, and also because it shows him as this omniscient being as far as the story is concerned.
I recommend it, and I'll say now that these aren't the only ways in which the book could be considered experimental. I don't recommend the film so much, which tries to use the same sort of feel as Fowles' book, but it comes off as rather odd (the actors playing the two leads, Jeremy Irons and Meryl Streep, are shown off the set, getting into different situations).
As part of my $5,000 per week deal with TV Tropes, I'll add that they refer to this as an author avatar. There's a range of material there on how it can be used positively or negatively according to fans. It gets you thinking about the implications that the use of an author avatar has. Look at a well-known (notorious to some) example: Brian Griffin in Family Guy: for many different reasons, Brian was developed this way, and is known to give creator Seth MacFarlane's (who voices Brian also) spin on events, especially political ones. The implications kick in in several episodes where Brian cannot be proved wrong, because his liberalism is obviously the way to go. The effect is quite a suffocating one, even for a show with a vast amount of silly jokes and a predominantly teenage/young adult audience.
Related articles on TV Tropes:
Canon Sue (touched upon here in the lounge already).
Broken Aesop (in connection with the previous link - though this isn't such an easy thing to define: using the Family Guy example, who's not to say that most of what you 'learn' from the show is then parodied? It parodies this, like many other TV shows of its sort, from the post-'80s period).
I swear I had something else to say, but I got lost in somebody's eyes. Or something.