Of course you can include yourself in a list along with other pronouns, proper nouns, etc. And there's no reason why you shouldn't put yourself first, last (or any other position you fancy).
Prescriptive grammarians will tell you you can't substitute me in such a list if that list is the subject of a sentence, so they won't like...
"Me and my wife have three children"
...but that's just pedantic tosh. People say things like that all the time, despite the fact that they would never dream of saying "Me have/has three children" (the usual argument trotted out to explain why me is "wrong" in my example). Idiomatically, people probably use me or myself more often than I there - but if they do use I, it's nearly always in the final position (whereas me tends to come first, and myself works fine in either position).