I have role played in chat rooms in the past in a free form fantasy type setting where some people played supernatural creatures, this was before the latest "vampire" craze, so they weren't responding to all the lame material that's out there now.
Back then some people played Vampire The Masquerade or Anne Rice style vampire characters, but if you talked to them out of character they were just normal folks pretty much, they knew the difference between reality and fiction and you knew they had no delusions about killing or hurting people in real life.
I chatted with this one guy who ran a LARP, (live action role play), based on the Camarilla, and he said that he had run across some people in his time who didn't seem to understand this in character/out of character boundary, and he had to remove them from his group for allowing themselves to get so into character they believed they had real powers. He said he had to remind people before they even signed up not to dissolve the boundary between OOC and IC.
A lady told me a story in private messages. It started out with her asking me "Do you think people take this stuff a little far?" I replied with, well, they're just having fun" then she told me that one time she had a boyfriend who had the same problem, and he actually bit her. I have to admit I was shocked.
The characters I played were human and good-aligned, so I used to joke that at least if I ever lost it and thought I was one of them, there wouldn't have been much danger.
However I do think people should be aware that some people can't safely play those kinds of games.
I think for most people role playing is probably ok, but I think that there is always a danger there of losing that grip on reality, especially for more intelligent/creative people, or people who may be prone to mental illness. So my warning to everyone is to either avoid it entirely, or proceed very carefully.
I was reminded of this when I saw this story of a guy who obviously completely lost his mind, and his stupid friends who let it happen.
http://www.sandmountainreporter.com/news/local/article_12da2fba-04a7-11e0-82c4-001cc4c002e0.html?mode=story