Characters and Self

I have noticed in my writing (when I actually get a chance to write) that I often have a major part of myself in the main protagonist of my stories. Sure, the character may be braver than me, or stronger, or look differently than myself. However, when writing my protagonist I often envision myself in the situations my character is in, and wonder what I would do myself.

Am I the only one who does this? Or, am I just so egotistical that I have to be the hero all of the time? Who else projects themselves into their characters? I suppose a piece of ourselves is in everything we write, but to what extent?