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).
George Lucas wanted him to direct Return of the Jedi, but the Director's Guild of America wouldn't allow it because Lucas was no longer a member of the Guild.
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.