Bruce Hood, author of The Self Illusion, argues that a lack of self isn't as depressing as it sounds:
When we judge others, we consider them responsible for their actions. But was Mary Bale, the bank worker from Coventry who was caught on video dropping a cat into a garbage can, being true to her self? Or was Mel Gibson’s drunken anti-Semitic rant being himself or under the influence of someone else? What motivated Senator Weiner to text naked pictures of himself to women he did not know? … By rejecting the notion of a core self and considering how we are a multitude of competing urges and impulses, I think it is easier to understand why we suddenly go off the rails. It explains why we act, often unconsciously, in a way that is inconsistent with our self image – or the image of our self as we believe others see us.
In an interview with Jonah Lehrer, Hood addresses his critics:
My critics often dismiss my position as too reductionist or too materialist. Well, if the human condition it is not materialist, then an alternative good explanation must be non-materialist. Show me good evidence for souls and spirits and then I will be forced to change my view. But so far there has been no reliable evidence for souls, ghosts or supernatural entities that inhabit bodies. They are conspicuous by their absence. In contrast, we know that if you alter the physical state of the brain through a head injury, dementia or drugs, each of these changes our self. Whether it is through damage, disease or debauchery, we know that the self must be the output of the material brain.
Will Wilkinson disagrees with Hood's understanding of "illusion." Julian Sanchez covered related ground a couple years back while discussing the "illusion" of free will:
It is as if someone had told me for the first time about subatomic theory, and I mused that I nevertheless have this illusion of a solid desk chair, when after all, it is really these clouds of quarks and whatnot. And this would be silly: The parameters of “solid” and “desk chair” are given by ordinary life, and within those bounds the chair is exactly as solid as it ever was. A theory about the microstructure of the chair could not be in conflict with, or prove “illusory,” my ordinary perceptions, because they were not perceptions of the microstructure in the first place.
The Dish 