Maryland Governor Robert Ehrlich playing a security guard at the governor's office.
Donnie Andrews, the real-life inspiration for Omar Little, who appears as his sidekick a few times and is ultimately killed when Omar makes his Super Window Jump. That scene was based on an incident in Andrews' real life.
Felicia Pearson basically plays a fictionalized version of herself. Somewhat.
The woman playing the principal of the local school? Actually the principal of the real high school. No wonder you sat up straight when she yelled.
Lt. Dennis Mello was played by the actual Jay Landsman, a long-time homicide detective in the Baltimore Police Department. Not to be confused with the fictional homicide detective Jay Landsman (see Celebrity Paradox below)
Det. Ed Norris is played by Edward Norris, former Baltimore Police Commissioner who had a somewhat...controversial career (that ended in indictment). His lack of respect for the current Commissioner is a running gag.
When he goes undercover in the Greek's brothel, McNulty's alias is "James Cromwell", in reference to "the English fuck who stole my ancestors' land". Dominic West played Oliver Cromwell in the Channel 4 miniseries The Devil's Whore.
Real Life Baltimore drug kingpin "Little Melvin" Williams plays the Deacon, whose first name is apparently "Melvin".
Directed by Cast Member: The season 5 episode "Took" was directed by Dominic West (McNulty). Clark Johnson also directed several episodes (notably "The Target"), even before he joined the cast as editor Augustus "Gus" Haynes. He also directed the finale.
Fake American: McNulty and Stringer Bell are both played by Brits. The Italian-American Carcetti is played by an Irishman.
Fake Russian: Ukrainian Sergei Malatov is played by American actor Chris Ashworth.
Plenty of cameos from Baltimore-area personalities. The Baltimore Sun office in season 5, for example, has several former Sun writers playing themselves in their old jobs.
Many remember JD Williams (Bodie Broadus) as being Wangler from HBO's Oz. At least three cops played medium to minor characters in Oz, as well. Avon is the C.O. that smuggles a handgun to Said. The FBI mole has plenty of underground experience, what with being Busmalis aka "The Mole" in Oz.
Mean Character, Nice Actor: Marlo Stanfield is pretty much the only Complete Monster on the show. The actor who plays him, Jamie Hector, teaches martial arts and drama to at-risk youth, counsels them, and checks whether they attend school via his own charitable organisation, Moving Mountains. He also helped raise money for survivors of the 2010 Haiti Earthquake.
Likewise, Sandi McCree in real life is as far away from Evil Matriarch De'Londa as you can get, being an advocate for arts education among children and teens, and all the people who contribute to the commentaries on the Season 4 DVD's, particularly David Simon, make it a point to emphasize how nice she is in real life.
Retroactive Recognition: The Wire may have been one of the most critically acclaimed shows of all time, but it didn't get as wide an audience as some other shows that starred its actors, so it falls victim to this occasionally.
After the huge success of Game of Thrones, Tommy Carcetti is probably better known to people as Petyr "Littlefinger" Baelish.
Likewise, Cedric Daniels may be better known to people as Philip Broyles.
There was another season of The Wire planned which would have dealt with immigration and the large influx of Hispanic immigrants in Baltimore. Since none of the writers spoke Spanish nor knew enough about the immigrants that lived in Baltimore, the season was cut.
During season 3 the idea was floated of spinning off the political subplots into a separate show called The Hall. Instead the political side was folded into subsequent seasons.