When i was a kid and i did something bad, or i was being picked on, or something bad happened and so on i'd have this 'other voice' that would constantly tell me i was always to blame, that it was my fault, that i was worthless and so on. This mostly happened at bed time, where i would be literally telling myself what a little shit i am / was without me realising i was the one saying these things. Brought me to tears a few times.
...But now i'm an adult, and have grown out of that. Hooray.
On a more serious note, sometimes i say a few words of encouragement to myself if i'm doing something hard or something i really don't want to do. 'Come on buddy, you can do this!', stuff like that. I think most people tend to encourage themselves in tough situations when there's no-one around to do so.