Shakespeare was in acting troupes, and was known as an actor, yet I've never actually heard of him performing in the plays he wrote. Are there any documents or information to suggest this?
There are a small handful of extant documents that support the idea that Shakespeare performed in the plays that he wrote.
In the introduction to the First Folio of 1623 it is explicitly stated that Shakespeare was a principal actor in his own plays, but no specific roles are mentioned.
There is a royal record in the accounts of the Treasurer of the Chamber dated March 15th, 1595 that noted Shakespeare as being among the players in the Lord Chamberlain's Men. However, it does not state what roles he played that day:
To William Kempe, William Shakespeare and Richard Burbage, servaunts to the Lord Chamberleyne, upon the Councille's warrant dated at Whitehall XVth Marcij 1594, for two severall comedies or enterludes shewed by them before her majestie in Christmas tyme laste part viz St. Stephen's daye and Innocents daye..."
Shakespeare's name then appears in a list of actors who performed in the first run of Ben Johnson's Euery Man In His Hvmovr (Every Man In His Humor) in 1598. His name is listed first among the Principal Comedians, but again no specific role is mentioned.
A second Ben Johnson connection appears in 1603 when Shakespeare is noted as a Principal Tragedian in Sejanus His Fall. Note that this time he is mentioned after Richard Burbage, the most famous tragedian of his day.
One of the most famous rumors about Shakespeare is that he originated the role of The Ghost in the first productions of Hamlet circa 1601. The story comes from an anecdote told by Poet Laureate of the United Kingdom Nicholas Rowe in his biography of Shakespeare in 1709. Alas, there is no evidence to bolster Rowe's claim and it remains in the realm of rumor.
Other such rumors include Shakespeare playing King Duncan in Macbeth, Adam in As You Like It, King Henry in Henry IV, and the title role in Edward I by Edward Peele. Convincing arguments can be made for each of these assertions, but we are unlikely to ever know for certain exactly which roles were performed by Shakespeare himself.
Well, there's a page in the First Folio that lists the Names of the Principal Actors in All These Plays, and Mr. Shakespeare's name is listed first.