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.
There are many ways to embed information in order to detect transmission errors etc. CRC checksums are good at detecting runs of consecutive bit-flips and might be added in such a way that the checksum is always e.g. 0. These kind of checksums (including error correcting codes) are however easy to recreate and doesn't stop malicious tampering.
It is impossible to embed something in the message so that the receiver can verify its authenticity if the receiver knows nothing else about/from the sender. The receiver could for instance share a secret key with the sender. The sender can then append an encrypted checksum (which needs to be cryptographically secure such as md5/sha1). It is also possible to use asymmetric encryption where the sender can publish his public key and sign the md5 checksum/hash with his private key. The hash and the signature can then be tagged onto the data as a new kind of checksum. This is done all the time on internet nowadays.
The remaining problems then are 1. How can the receiver be sure that he got the right public key and 2. How secure is all this stuff in reality?. The answer to 1 might vary. On internet it's common to have the public key signed by someone everyone trusts. Another simple solution is that the receiver got the public key from a meeting in personal... The answer to 2 might change from day-to-day, but what's costly to force to day will probably be cheap to break some time in the future. By that time new algorithms and/or enlarged key sizes has hopefully emerged.