A crucial moment in the play in regards to the theme of self-deception is when Malvolio connects the person in "Olivia's" letter (which was really written by Maria) to himself.
As part of a cruel prank, Maria forges Olivia's handwriting in a letter. The contents of this letter...
request that a person with the letters MOAI in their name act a bit strange by dressing in yellow stockings for Olivia. After convincing himself that he is in fact the addressee, he immediately seeks to fulfill Olivia's wishes. Continuing the prank, Maria and others note to Olivia that Malvolio is acting strange. By Act 5, he confronts her with the letter and says:
Alas, Malvolio, this is not my writing,Though, I confess, much like the character.But out of question, 'tis Maria's hand.
This proves that Malvolio was a victim to self-deception. Beyond the fact that the letter doesn't even mention his name, it's not even Olivia's handwriting. He allowed himself to believe that a relationship between himself and Olivia was actually possible, when, in reality, it wasn't.
A less obvious example of self-deception could be the way that Olivia portrays herself in the beginning of the play. As she mourns the death of her father and brother, she swears that she will be in mourning for the next seven years and will not allow any man into her heart. This is particularly addressed to the Duke, who has been pursuing her for quite some time. However, upon seeing Cesario's (Viola's) face, Olivia notes:
Methinks I feel this youth's perfectionsWith an invisible and subtle stealthTo creep in at mine eyes. Well, let it be.
In other words, she is going to willingly allow Cesario's good looks to be the object of her affection - a complete 180 degree shift of how she responded to the Duke's pursuits. In other words, she may have been using the mourning as a disguise as to why she can no longer be in love.
This theme of self-deception connects to a larger theme of lies and deceit in the play. There are obvious examples of disguise to try and accomplish personal interests; however, those disguises do not let the characters reveal their true selves. That's why these cases of self-deception are particularly interesting.