So, my character for the Dark Heresy campaign in which our group is currently engaged is Daret Feliron, a Techpriest who thinks he's the hero of a pulp western film.
My intrepid Cowboy Cogboy is saddled (hur hur) with two dangerous delusions. Not 'Psyker' dangerous (using psychic powers is basically rolling on a 'ways to kill your party table'), but still not great for his survival chances. The first is a natural part of being a Techpriest. Having a Techpriest in your party is the most efficient way to see any and all Pandora's Boxes that you happen to encounter opened before you can say "wait, that's a Necron Tomb!" (note: saying that will actually make the Techpriest open it faster). The second is the delusion that he's a gunslinging badass who lives in a universe where that counts for something. He is a gunslinging badass, by most definitions, but so is everybody else, and most of his enemies have both more gun and more ass (the bad kind).
Dark Heresy is not the kind of setting where you can get away with this kind of sh*t. So I have to work to keep Daret alive while still letting him do his thing. This balance has lead to some character developments I didn't initially expect. Being a Techpriest, Daret is supposed to be above squishy things like emotion and vital organs. But being a Techpriest in an RPG, Daret is guaranteed not to be so far above such 'faults' as he would like, because frankly, playing suicidal Spock is boring. Hence his delusion that he's a heroic Groxboy, roping giant space-cows and fighting off Eldar wearing bandanas around their faces. However, my own need to play Daret at least mildly pragmatically has lead this to mutate a step further: Daret is aware that he isn't capable of living up to his own ideals as a Techpriest or a Cowboy. He still tries to fulfill the genre cliches, though, because he optimistically aspires to such heights. Just not necessarily while he's being shot at.
Hence moments like the one in the last session, where he kicked in a saloon door with pistol drawn, only to be faced with an entire room full of bad guys. In the 'picts, of course, he'd have shot the leader and the rest would have panicked and surrendered, leaving him to casually order a drink. Of course, given that this is Dark Heresy, Daret's gun jammed, and then he exited the building pursued by a significant quantity of ammunition from anti-personel armaments. But he DID exit the building, even if he was a bit miffed inside about having to do so*.
*"And leaving through the door, how absurd! People always leave saloons through the windows!"