Have you ever noticed how Arnold is the only one who doesn't break out of character during the end credits of predator?
This proves the theory that he didn't realise it was all just a movie.
I heard a hollywood rumor that he was invited on a survival holiday by Jesse Ventura. And they secretly filmed the whole movie without telling Arnold what was going on.
Notice how puzzled he looks in every shot.
Notice how pissed off he looks in the helicopter at the end. (when they told him the Predator was just a guy in a suit)
The scene where Arnold starts preparing weapons out of leaves and twigs, was obviously filmed without his knowledge. (The camera man is hiding behind the trees)
I heard a rumour that the whole 3rd act which begins as Arnold jumps into the waterfall was completely unplanned, Arnie just flipped out when he saw the predator and made a run for it.
Look at the fear on his face when he shouts "get tu da CHAPPAH!"
Supposedly the whole film is rife with clues to Arnies ignorance of the movie conspiracy.