Is there a word for an acronym which spells out one of its component words?

It's usually called a recursive acronym. It draws, by its very nature (and geekiness), a certain fondness from computer hobbyists and is thus heavily used in naming software packages, programming concepts or algorithms. There are, however, some non-technical examples (drawn from the Wikipedia page linked above):

• IRIS, for Iris Recognition Immigration System
• Visa, for Visa International Service Association

Also of note: “GNU Hurd” is a mutually recursive acronym, where “Hurd” stands for “Hird of Unix-Replacing Daemons”, and “Hird” stands for “Hurd of Interfaces Representing Depth”.

They're called "recursive acronyms":

A hackish (and especially MIT) tradition is to choose acronyms/abbreviations that refer humorously to themselves or to other acronyms/abbreviations. The classic examples were two MIT editors called EINE ("EINE Is Not EMACS") and ZWEI ("ZWEI Was EINE Initially"). More recently, there is a Scheme compiler called LIAR (Liar Imitates Apply Recursively), and GNU (q.v., sense 1) stands for "GNU's Not Unix!" -- and a company with the name Cygnus, which expands to "Cygnus, Your GNU Support" (though Cygnus people say this is a backronym).

For more examples, read DR Hofstadter's "Gödel, Escher, Bach: an Eternal Golden Braid" - that's where I first heard of them, and many other wonders of language/math/science/art/computers/music as well.