Not to be confused with...

• RPG (Role Playing Game)
  
• LARP (Live Action Role Playing)

World of Warcraft
Dungeons and Dragons
Vampire the Masquerade
Epoch (Toronto based "live-action role playing game set in an apocalyptic time of swords and sorcery" http://www.epoch-larp.ca/)

Differences:

RPG/LARP characters/roles are:
- Not based on preexisting characters/roles.
- Created by the player following a set of rules or instructions.
- Designed to fit into a specific game based around an alternate reality.

Cosplay:
- Based on preexisting characters.
- Created by the original artist, emulated by the fan.
- Not a game so much as an activity/hobby/pastime.
- Not necessarily involving an alternate reality (although invoking some of a character's sayings or behavioral traits can be relevant).