I was reading in another place about a Van Morrison gig on the '90s at which Elvis Costello, Bob Dylan and several other luminaries popped up unexpectedly, which must have been fun for the attendees (and let's face it, it's been pretty hard to have fun at a VM gig since about 1973), and it set me thinking about the few times I've been at a gig at which another celeb has made an unannounced appearance.
The ones I can recall are:
Ian Broudie on guitar with Deaf School a few years ago.
Jimmy Page rolling up to play with Roy Harper, probably about a decade ago
Chris Difford joining the Jools Holland Big Band for a few old Squeeze songs, around 1998
Phil Collins bashing the toms behind John Martyn back in the 80s
Ralph McTell playing guitar with Fairport Convention in 1979 (!)
All told, not that impressive a collection. I'm sure some of the regulars here have far better....