Directors in their own films - lots, but off the top of my head, Tarantino always wants a cameo (guy who says the n word a lot in pulp fiction; Australian in Django Unchained), and Peter Jackson as various miscellaneous characters in his LotR/Hobbit films (man in Bree with carrot in Fellowship; soldier at Helm's Deep in Two Towers; dwarf running away in Hobbit 1). Martin Scorsese has a significant scene in Taxi Driver. Clint Eastwood in Taxi Driver. Orson Welles in Citizen Kane.

Directors in other people's films: again, Tarantino in From Dusk Till Dawn and Peter Jackson as a knife-wielding Santa Claus in Hot Fuzz. Edgar Wright appears as a zombie in Land of the Dead. Martin Scorsese voices a shark in Shark Tale.