Citing oneself in PhD application documents: Good or bad? Some PhD applications I've gone through involved submitting a research proposal, statement of interests and/or a sample article review (e.g. of a specific, pre-determined article which has relevance to the position being applied for). Naturally, when writing proposals and critiquing people's work, I will naturally have my own (ideally similar) work as a reference to compare it to, naturally knowing my own work quite intimately. However, is explicitly referencing one's own work in such contexts a good idea or a bad one? For example:


  Review: McMahon et al. 2012. "How to raise gerbils on Mars." Gerbil Fancy, vol. 14, no. 3.
  
  Reviewer McNotyetdoctorface
  
  Swiss Naval Academy
  
  Bern, Switzerland
  
  ...
  
  McMahon et al. reported poor results in estimating the nutrition requirements of gerbils in low-gravity environments. These results could have been improved by conditioning for effects of gerbil Earthsickness as witnessed by McNotyetdoctorface (2011) during his similar work on the moon.


For

One positive aspect of mentioning oneself which I could imagine is displaying the ability to create a "narrative" of one's own work over time and to relate it to other works in a constructive manner, and it also subtly "shows off" one's previous work to people who may have overlooked it or at least overlooked its relevance to the position at hand.

Against

On the other hand, I'm not sure if PhD application materials are intended to be either "anonymous", "unbiased" or both: If they are anonymous, then no one will know that I am in fact Reviewer McNotyetdoctorface, so there would be little benefit. However, I obviously think my own work is fantastic, and so citing it in an application might backfire in that the people reading it may think: "Well, he really likes tooting his own horn; Does he ever think that other people's work can be better than his?".
I find manner in which you frame your question quite interesting. To address your question, if you have published work then why not cite it? Of course it may reveal your identity but that can only work to your advantage in the long-run. If the professor doesn't like the applicant for personal reasons the applicant probably wouldn't want to do a PhD with that particular professor anyway. 4 years or even 3 can be a very long-time if PhD and supervisor are not on the same wave-length. 
Moreover, if you do not cite your own published work you might be plagiarizing yourself.

If the work is not published at all then I would probably not mention it in a PhD application, because it can have the opposite effect. The reviewers may think that the applicant focusses too much on his/her own work and opinions and is not flexible enough. After 1.5 years of PhD I can safely say that flexibility is a key ingredient to a successful PhD journey. Therefore, show off your knowledge when your present your argument and ideas.

If the work is published, but not a in a peer-reviewed journal, then I guess it depends where you are applying to (university, department, professor).
Good luck with the application!