This isn't necessarily answering Cold Steel's questions, but I think he's gotten some good answers to those already and I want to make a suggestion about something.
Personally I think that one of the main causes of someone deciding they are anointed is not mental instability, but rather a rationalization stemming from the fact that they feel that they are closer to Bible truths than the average person. Perhaps, in reading the Bible closely, they have realized that some Watchtower teachings do not hold up, and rather than let themselves be troubled by this, they decide that they are simply glimpsing new light ahead of the org. Perhaps a teaching actually changes in the direction they anticipated. So they conclude that they must have extra holy spirit and that they are one of the anointed. In following this thought process, it's very much an intellectual thought process rather than an emotional one.
In other cases, like TTSSUF's story of the old woman who was a former evangelical, they are Witnesses who are more emotionally tied to the concept of Jesus than the average Witness, and this causes them to feel that they must be chosen to rule with him in heaven. So the thought is actually a response to finding themselves being more properly "Christian" than the average Jehovah-centric, Jesus-ignoring Witness. Which is an emotional thought process, but not an unstable one, any more than the average Christian is "unstable".
That being said, I'm sure there are others who simply had a hallucination or a strange dream and concluded that they were anointed.