Until I read this BBC article, I'd never heard of "mail artists". I'm sure post office workers, already overworked at this time of year, are delighted by people who deliberately make their jobs more difficult just for their own amusement. That said, I did find the story of W Reginald Bray intriguing - a true British eccentric, by the sounds of it.
The article makes the concept of posting yourself sound like a jolly jape - Bray did so together with "his faithful Irish terrier, Bob". But it makes me think of 'The Gift' by The Velvet Underground, an altogether less cheery story.