This question is partly inspired by this question: independently of the original context, I'm interested in the general claim* that an ill-founded set theory would represent certain mathematical objects more intuitively. That is, I'm looking for reasonably natural mathematical structures which, in some sense, "contain themselves" as an element (or element of some element, or etc.). I'm especially interested in whether there are natural examples of the form $a_0"\in" . . . "\in" a_n"\in" a_0$ for $n>0$, since I know of no natural such example.
To clarify, I'm looking for instances of "genuine" self-elementhood. Structures isomorphic to substructures of themselves don't really count; neither do things like the class of ordinals being a "class-sized ordinal."
*On, e.g., page 55 of Inter-universal Teichmuller Theory IV (http://www.kurims.kyoto-u.ac.jp/~motizuki/Inter-universal%20Teichmuller%20Theory%20IV.pdf).
(Nov 11, 2021: Since I bumped this post with a new answer anyways, I've taken the opportunity to remove a [very incorrect](https://mathoverflow.net/a/125842/8133) claim about the Gromov-Hausdorff metric and generally shorten this question substantially.)