From Wikipedia:

Grandiose delusions
or delusions of grandeur are principally a subtype of delusional disorder but could possibly feature as a symptom of schizophrenia and manic episodes of bipolar disorder.[1] Grandiose delusions are characterized by fantastical beliefs that one is famous, omnipotent, or otherwise very powerful. The delusions are generally fantastic, often with a supernatural, science-fictional, or religious bent.

Grandiose delusions are distinct from grandiosity, in that the sufferer does not have insight into his loss of touch with reality.

In colloquial usage, one who overestimates one's own abilities, talents or situation is sometimes said to have 'delusions of grandeur'. This is generally due to excessive pride, rather than any actual delusions.

Megalomania is defined as: [1]

1. A psychopathological condition characterized by delusional fantasies of wealth, power, or omnipotence.
2. An obsession with grandiose or extravagant things or actions.