Like the aforementioned Comden and Green, Mae West, Anthony Newley and Ruth Gordon; Charles Ludlam, Charles Busch, Noel Coward, Harold Pinter, Joan Rivers, Eve Ensler and George M. Cohan often appear/appeared in their own plays
Also:
Woody Allen in Play it Again, Sam David Hare in Via Dolorosa Sam Shepard and Patti Smith in their co-authored Cowboy Mouth Elaine Stritch in At Liberty (written with John Lahr)