Source : Webster's Revised Unabridged Dictionary (1913)

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.

Source : WordNet®

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