The self for Carl Jung is an archetypes which represents the whole psyche of an individual. It is the constant and continuous phenomena of "me". For Jung the self is the product of individuation and it therefore bears to essence of being something distinguished from the world. In psychoanalytic terms the self encompasses the conscious and unconscious as well as the ego, super ego and id in their totality.
See further: list of Jungian Archetypes + short explanations