Jimmy Connors is the most cocky player that I can recall in my lifetime of 27 years. Agassi had some cockiness in my mind when he was younger (and I loved it at the time), but outgrew it. Connors never did.
I sometimes think that Hewitt stradles the line between confident and cocky, but I tend to think of him as more as just very confident.
I adore Federer, but I do think that he can sometimes be arrogant, but in the best way possible. Meaning that he is a realist who understands the magnitute of his success and skills. He has almost an aristocratic arrogance sometimes - and I don't really think that's a bad thing. I think his arrogance in a way is built out of his being true and not falsely modest. And not to split hairs- but I think that there can be a difference between arrogance and cockiness and while I think that Feds can be sometimes slightly arrogant- I don't think that he is cocky.
Rios could be quite arrogant- but it suited him.
Lendl could be a little smug at times.
Tilden sounds like he was quite a character and really did things to get under his skin. A book I have on the 1920s says:
It was typical of Big Bill to link tennis and the theater, the two worlds he loved most. Purists might complain that he did too much acting on the court- holding aloft an injured finger or playing with his sweater on for a set or two before peeling it off for the blazing finish.
Tilden and Suzanne Lenglen must have been handfulls in the '20s.