One episode called "The Solitary Knight" has the Silver Knight from the .hack//SIGN anime make an appearance in order to help Shugo escape the Cerulean Knights. Sadly he's eventually caught and his character avatar deleted for standing up to the Knights, but not before their progenitor gives them one hell of a What the Hell, Hero? speech.
Sanjuro from IMOQ makes his appearance in Episode 3 by defeating a monster from a high-level area in one slash. Note that "Divine Fist Ouka", who has an in-universe reputation as one of the strongest characters, had an off-screen fight lasting a few seconds defeating a rogue monster in Episode 2.