This isn't categorically bad, but should be recognized in ourselves. Also, it might tell you something about yourself: Do you frequently play a character who's an author, but you don't write? Maybe you should. Of course, this isn't true in all cases: If you frequently play a warlock who goes around slaughtering whole villages... well you get it.
When you're playing with a group though, try to not let your wish fulfillment fantasies come at odds with what the rest of the group wants. Example: A lone warrior in a group of thieves shouldn't force the group to get into fights they aren't prepared for and they don't want to be in. Related: in character creation this should also be kept in mind. If the GM communicates he wants to run a game about a thieves guild, then a loud, challenging warrior looking for epic fights probably isn't a good character for that chronicle (unless the group always needs someone to serve as a distraction). In some cases the GM might run a balanced game so everyone can play the character they want, but this is a hard balancing act, and still might bore players when it's not their time to shine.
Again, it's not bad to play characters types that you idolize - hell, you'll probably have more fun this way - but don't let this interfere with other aspects of the game, and try to be self-aware of your own wish fulfillment desires so they don't hinder enjoyment.