Oliver Stone has made quite a few cameos in many of the movies he has directed. These are a few of the movies I can think of off the top of my head:
"Platoon" - Army General who gets blown-up as a NVA does a suicide bombing run into his bunker
"Wall Street" - Is seen buying stocks in a 4-way screen split.
"The Doors" - 2 cameos, he is the film school teacher that cuts Jim's work, and a student in the audience.
"Any Given Sunday" - Sports anouncer
"Born on the 4th of July" - News reporter.
Oliver also did a made for T.V. movie, I can't recall the name of it (I think it had James Belushi in it), he plays himself on it.
If you can find any other ones please add them!