A director appearing in his own film is hardly rare. Hitchcock was famous for his cameos, Quentin Tarantino and M. Night Shyamalan have both tested waters with small roles in their earlier films before taking on larger ones (in the latter's case, his role in Lady in the Water was so ridiculed that he has mostly quit the gimmick), and even Martin Scorsese has popped up in a few of his classics, usually as a photographer. Some did it before they got too recognizable, such as Michael Bay (one of the lab guys who takes the first picture of the asteroid in Armageddon), others were already recognizable from their acting careers and shouldn't do it at all (it's so distracting when Peter Berg gives himself a random walk on in one of his films, with Hancock's being particularly obnoxious). At best it's a fun little Easter Egg for the movie fans who will recognize them, at worst it's a vanity thing that should be stopped (again, Shyamalan).
And then there's Steven Spielberg, probably one of the most recognizable filmmakers of all time... who has almost never appeared on-screen in any of his productions. My grandmother probably couldn't pick James Cameron or Ridley Scott out of a lineup, but I bet she'd know Spielberg at a hundred yards - he's just too much of an icon, with over 40 years of films bearing his name. But even though we all know his face, it's not from his films themselves, the way we quickly learned what Tarantino or Hitchcock looked like. He plays a party guest in his first television film, Something Evil, but once he switched to theatrical features I guess he got stage fright - in 40+ years and 27 feature films, he's only appeared on-screen in two (or three?) of them, and for the most part you'd have to be some sort of savant to spot them without assistance from the Internet.
The first for a theatrical release was in Temple of Doom, where he joined George Lucas and some other crew as one of the missionaries at the airport, obscured by a hat and mostly framed out of the action by everything else going on in the scene. It's impossible to recognize him even when actively trying to find him, plus your eye would naturally be drawn to Harrison Ford and Kate Capshaw (or by Dan Aykroyd, also much more obviously cameoing in the scene). I highly doubt anyone ever actually recognized the men, so I assume this bit of trivia is only known because one of the crew (perhaps Spielberg himself) pointed it out. It's not even really possible to get a good screenshot of them, let alone make out any identifying features - we can assume Spielberg is actually in ALL of his movies if this is the sort of "role" he takes.
You would think that someone as cameo-averse wouldn't even consider showing up in what is his most serious and important film, but some folks say he's in Schindler's List, right at the very end. I find it highly unlikely that a guy who had been disinterested in directing himself would make an exception for THIS of all movies, but without his beard and glasses I don't really know what he'd look like, so maybe it IS. It's been in the IMDb trivia for years - I assume if it was wrong it would have been removed by now (wrong info on IMDb may be common, but it also doesn't usually last long, especially on high profile films), but I still doubt this is him. You guys can argue about it.
Compared to Temple of Doom, his (CONFIRMED!) appearance in The Lost World was glaring and excessive. It's actually closer to a goofy "mistake" than a cameo, as he can be quickly seen reflected on a TV screen sitting in between Julianne Moore and Vanessa Lee Chester. You can barely even make him out on DVD, let alone VHS (the film's original format, as it didn't hit DVD until 2000), but still - it's obvious that there's an extra person on the couch, and you can actually see his "regular" face, for the first and so far last time in a film he directed himself. I guess it was just his way of having a little fun on a movie that was obviously beneath him, but when you think about all of his peers, it's amazing that this is one of the biggest roles for Steven Spielberg, actor.
When one of his pals is directing he loosens up a bit, though. He's a party guest in Cameron Crowe's Vanilla Sky (presumably a different character than the one in Something Evil), and even has a couple lines in John Landis' Blues Brothers as the nerdy clerk that they rough up when paying the taxes at the end of the movie. Or if he's only producing you might spot him, like in Men in Black as "himself" (one of the aliens they're monitoring), or one of the random inventors at Peltzer's convention in Gremlins (he zooms by fast, but he's still recognizable). He's also seemingly less shy about his voice* than his face; not only did he supply his own voice for Paul (hey, Devin's been in a movie with Spielberg!), but he stole Charles Fleischer's job as the voice of Roger Rabbit in an episode of Tiny Toon Adventures, and that's also him in Jaws as the dispatcher trying to connect Mrs. Brody with the Chief on Quint's boat.
But that's pretty much it. He's got over 400 credits on the IMDB for "self" (meaning that he appeared on camera for a documentary, making of, or special of some sort), so he's not exactly some Malick-ian recluse, but when it comes to "acting" he apparently has no interest in having that kind of fun. Schindler aside I could see why he'd balk at appearing in his serious films, but I'm sure there's room for him in his more lighthearted entries, not to mention the dozens of movies he's produced (no Back to the Future cameo? Boo!). I find that kind of fascinating, and in a way it's testament to how much we love him and his films that we can instantly conjure up a mental image of the man. All of our familiarity comes from the stuff AROUND the movies, and we don't watch that stuff unless we love the movie itself. And we sure do love Spielberg movies.
*And yet he won't do audio commentaries! What an enigma.