The street musicians playing for change in "Scrooged" was good. The band included Miles Davis and that guy that leads the band on the Letterman show.
On another occasion, at one of the awards shows, when they were giving out the awards for "best talk show host", they tried to persuade Johnny Carson to walk out, look at the guy reading the winner, turn around and walk off. This was several years after he retired. He thought about it, then said, "no, I'm retired."
As far as actual cameos, I remember about two months after Pee Wee Herman got busted in the porno movie house. It was an awards show, and Herman walked out, waved at the audience, and said, "Heard any good jokes, lately?" It was an attempt to revive his career, and return to the more risque night club humor he did before he became an actual children's television show star, but, of course, failed.
Also there was Count Basie in Blazing Saddles.