I would like to point out that there's a big difference between when an RP focuses on a GM's character, and when a GM simply has a player character.
In most of my RP's, I have a player character (or maybe several, if I've also allowed multiple-character ownership for everyone else) who I do not consider to be a "GMPC". I know that GMPC probably technically refers to any character played by the GM, but, given how GMPC's are generally used, I simply don't think of my other PC's as such. They don't have any special significance to the story that sets them apart from the other PC's. They're just part of the PC group, and I play them like I would any character I would have in an RP that is not my own. And you know what? This system usually works out fantastically. Because not only do I not steal the spotlight from the other characters, as my own PC's only have as much relevance in it all as the players do, but I still get to enjoy the world and setup I've created by playing through it like any other player would. And I get to add just a bit more activity to the RP so that it doesn't suffer from having too few characters, and I can sometimes mindfully place my characters in situations that would improve the overall flow of interaction (like if there's a newcomer to the RP who needs someone to interact with, one of my characters can interact with them and more easily integrate them into the rest of the group). This, though, is usually the extent of how much my characters serve a GM-related purpose. Otherwise, they're just doing what any other player would have it within their power to do, and most plotting done for them comes from side-plots collaborated between myself and the players, rather than relating to whatever grand scheme I might have laid out for everyone.
However, there have been times when I've created characters that would be more along the lines of a more traditional GMPC -- one that serves a definite purpose to the GM and is something that not just any player could create. These include antagonists, and protagonists that the other PC's are supposed to support, like with what Brovo was trying to say. I currently have an RP like this currently running (which somehow has lived to be at least a year old now, maybe two), though I will acknowledge that it is definitely flawed. The whole issue of my GMPC stealing the spotlight has happened, though I did not intend it to, and it's a difficult problem to fix. I find the other PC's consistently becoming dependent on my GMPC to lead the story for them, and it's a hard rut to get out of and help them lead. So, it's an RP pretty much constantly afflicted by problems arising due to flaws in its very setup that I just didn't think through very well at the time. >> And, looking back on it, this is pretty much what has happened with a lot of other RP's where I created important GMPC's, as well. Hence why it's something I try to avoid now.
So yeah, I totally understand a lot of people's concerns for GM's having PC's, but I feel like a lot of those concerns really only apply to the latter scenario. In which case, yes, proceed with caution. I'm not saying it's impossible to make work well, but, avoiding a situation where the entire story revolves around you and most of your players could be removed without anyone noticing can be a bit tricky.
However, it's entirely possible for a GM to play characters that don't come with this problem, because they're pretty much the same sorts of characters that any one of the players could come up with. They fit whatever role(s) the RP description has laid out for player characters, and they don't have any sort of traits or purpose in the story that a normal PC wouldn't be able to have. They're not NPC's designed for a specific purpose or a PC that the GM created for the story to revolve around; they're simply PC's controlled by the GM, interacting along with the other PC's, and playing by all the same rules as the other PC's, nothing more. And I see nothing wrong with that.