An unidentified passenger also died in the crash at 2:38 a.m. local time, authorities said.
Police in West Goshen Township, a western suburb of Philadelphia, said they found the car off the road in a wooded area. They said it was "fully engulfed in flames."
A police statement said a "preliminary investigation revealed that speed may have been a contributing factor to the accident."
Dunn, 34, born in Medina, Ohio, lived in nearby West Chester, Pennsylvania, police said.
Shortly before the accident, Dunn posted a photo to his Twitter account at 1 a.m. that apparently showed him drinking with friends.
The daredevil actor, part of the stunt-crazy crew in the Jackass movie franchise, also starred in "Haggard: The Movie," in which he played himself. (*)