Personally, I've given up writing fan-fiction, as original content seems much more interesting and valuable to me, plus I have quite a number of story ideas I would like to get around to writing.
I used to write some fan-fiction, and role-played as characters from pre-existing stories, but the experiences weren't that deep and usually formulaic and predictable. That said, I think it's nice if someone is that dedicated to a certain series that they simply must write their interpretation or continuation of it.
Come to think of it,
gamera68 writes a thorough fan-fiction of Rosario + Vampire, and in my opinion does a pretty good job. That's the largest example I can think of in our subsection of the forums.