Heck yeah, if I was doing a lighter sort of story. I always got a kick out of Hitchcock making a cameo in his American movies.

Also, Clive Cussler in his own Dirk Pitt books. He adds to the humor of it by giving Pitt a "don't I know you" moment when it happens.

Personally, I haven't done it yet. My stories happen in different times, but if the right moment presented itself, I would.

Cameos for others, I think I've done one or two times, and have one or two in the works now.  Myself?

Well, two things in the way of that: (1) I tend to have a bit of myself at least partially vested in the hero or main characters, so inserting myself for a cameo feels somewhat redundant. And (2) this is supposed to be an entertaining story, not an ego trip.  I don't want to risk Gary-Stu-ing this, or otherwise gumming up the plot, so I tend to pull myself away.  I believe that if I am the supah-kewel, lovable, everybody-likes-me person I know myself to be , other writers will put me in their stories.

Of course, I'm still open to a minor-helper/give-directions/innocent-bystander-diving-for-cover/pull-a-small-child-out-of-harm's-way sorta dealie. I just haven't found the right spot yet. 

Yes, I recall Cussler doing that - also Steven King has had them in just about every movie made from his novels.

And of course, Stan Lee in the Marvel films, too.

I think there's a considerable difference between having a walk-on in a film and self-insertion into a story...

All I'll say is, there's a certain someone who populates their stories with thinly veiled knock-off anime character and has himself in the story... that alone is reason enough to never indulge.

For me, there's a very clear differentiation between a character who might represent some traits of the author and just sticking yourself right in there.