Hey, It's That Guy!: Spielberg has a brief cameo at the end of The Blues Brothers, where he plays the Assessor of Cook County, Illinois (i.e. the guy they actually need to pay the $5000 bucks to save the orphanage to).
He always wanted to direct a James Bond movie, but Albert R. Broccoli rejected him twice. The first time, early in his career, Broccoli turned him down because he was young, inexperienced, and unknown. He approached Broccoli again after directing Jaws, but Broccoli wouldn't hire him because he was afraid he'd demand too much money.
He was going to have a small cameo in Casper that was actually filmed, but later cut for pacing.
Interstellar was written for him to direct. Many have noted that a certain plot twist near the end would fit far better into a Spielberg film than a Christopher Nolan one.