The Collaborative International Dictionary of English v.0.48:

Self-importance \Self`-im*por"tance\, n.
   An exaggerated estimate of one's own importance or merit,
   esp. as manifested by the conduct or manners; self-conceit.
   [1913 Webster]

WordNet (r) 3.0 (2006):

self-importance
    n 1: an inflated feeling of pride in your superiority to others
         [syn: ego, egotism, self-importance]
    2: an exaggerated opinion of your own importance [syn:
       egotism, self-importance, swelled head]

Moby Thesaurus II by Grady Ward, 1.0:

98 Moby Thesaurus words for "self-importance":
   accent, amour-propre, arrogance, assurance, assuredness,
   autoeroticism, belief, certitude, cocksureness, complacency,
   concern, concernment, confidence, confidentness, consequence,
   consequentiality, consideration, conviction, courage, ego trip,
   egoism, egotism, emphasis, excellence, faith, grandiloquence,
   high order, high rank, hubris, import, importance, inflation,
   interest, mark, materiality, merit, moment, narcism, narcissism,
   note, orotundity, overconfidence, overproudness, oversureness,
   overweening, overweening pride, overweeningness, paramountcy,
   poise, pomposity, pompousness, pontificality, pontification,
   positiveness, precedence, preeminence, pride, primacy, priority,
   security, self-admiration, self-approbation, self-assurance,
   self-complacency, self-confidence, self-congratulation,
   self-consequence, self-content, self-delight, self-endearment,
   self-esteem, self-gratulation, self-infatuation, self-love,
   self-reliance, self-respect, self-satisfaction, self-sufficiency,
   self-worship, settled belief, significance, smugness, stress,
   stuffiness, subjective certainty, superiority, supremacy, sureness,
   surety, trust, turgidity, vaingloriousness, vainglory, vainness,
   value, vanity, weight, worth