A person who thinks highly of themselves is often termed as egocentric or narcissistic.
Arrogant
If a person thinks they are funny when they are really not, I would call that person a failed comedian, and possibly a fool. Or maybe the person lacks self confidence and that's the only way he know to bring attention to himself.
Egoist: A person who thinks only about himself/herself anddoes anything purely for personal gains.
Atheist.
A cosmologist
You would call a person who praises himself a lot a narcissist.
Ignorant.
zen master
A person who thinks nasty things could be described as pessimistic, cynical, or having a negative mindset.
That would be a selfish person like the Grinch.
a person who tells proudly about himself is a boaster or a braggart.
A person who thinks only of themselves is often referred to as selfish or self-centered.