For me, the thing that has the most obvious effect of creating the sense of a self is the sense of purpose or agency. The feeling of having and acting with will creates the sense of self.

If you observe the mind casually and you see a thought -> emotion -> impulse -> action  - we assume (feel like) we are an entity reacting by exercising will. 

But if you watch the mind more closely, you see that those events are the result of impersonal cause and effect (not intention) and are produced by unconscious processes before they rise into awareness. It tells you the idea of having conscious will is an assumption or an opinion that might not be correct (depending on how you define terms). (And the feeling of being an entity with will is just another feeling arising from unconscious processes.)

The feeling of being an observer is similar, it is an assumption we make things that arises to consciousness from unconscious processes. 

A better way to explain the self would be to say it is a collection of loosely connected unconscious processes interacting through cause and effect that sometimes work at cross purposes (for example craving rich food while being afraid of gaining weight). 

What we usually think of as the self, an entity observing and exercising will, is really just an image, a portrait of what we believe about our self ie the self-image. We mistake an image of a thing for the actual thing. Actually most people already know a lot about this they just don't connect the dots. We know we get distracted when we try to focus on something - we don't control our thoughts. We have unpleasant emotions we don't want - we don't control our emotions. We have impulses that are often unhelpful, we don't control our impulses or actions. Our sense of our role in life changes from situation to situation, student, child, parent, employee, supervisor. Our sense of our personal characteristics changes with our emotions: pride, shame, winner, loser, etc. The feeling of being changes with physical sensations - hot, cold, pleasure, pain, etc. The self image is constantly changing, coming into existence when we have thoughts of self, and vanishing when we are absorbed in external perception.

Quieting the mind, slowing down it's activity, through meditation - so you can see clearly what it is doing - will help you see this. Try to see how the sense of agency you feel arises from your assumptions about things happening through impersonal cause and effect. The sense of being a "self" is something that is caused by assumptions we make. It really is an opinion that isn't right or wrong - but you understand it in a very different way when you understand the assumptions you are making and why you make them.