Like any good geek, I've long been charmed that the name of the operating system GNU, which is a -nix operating system, stands for “GNU is Not Unix.” Self-referential on two levels: it refers to itself, and then denies its Unix nature. This is even wittier if you're familiar with the history and politics of Unix.
Via the Chairman, I learn that GNU is not the only recursive acronym. In fact, there are over two dozen; I particularly like “TINA is no acronym.“
While we're on the subject, let me also inform any readers unfamiliar with them about the handy acronyms TLA and TUA: Three Letter Acronym and Totally Useless Acronym.