Is it possible to create a file that will contain its own checksum (MD5, SHA1, whatever)? And to upset jokers I mean checksum in plain, not function calculating it.
Yes. It's possible, and it's common with simple checksums. Getting a file to include it's own md5sum would be quite challenging.
In the most basic case, create a checksum value which will cause the summed modulus to equal zero. The checksum function then becomes something like
(n1 + n2 ... + CRC) % 256 == 0
If the checksum then becomes a part of the file, and is checked itself. A very common example of this is the Luhn algorithm used in credit card numbers. The last digit is a check digit, and is itself part of the 16 digit number.