Done best by
Kurt Vonnegut in his book
Breakfast of Champions. He reveals himself to the character
Kilgore Trout (who is himself already a
self insertion of Vonnegut into the book), and proves this by
teleporting Trout around the earth, through time, onto the surface of the
sun, then back to their starting point without harm.
Then he gets chased off by an angry dog, permanently retracting his testicles in the process.