When Shane is calling the lawyer from the payphone concerning Mara's situation (before his last phone call with Vic), the lawyer's voice is comedian Lewis Black! Apparently Lewis was a big fan of the show, so he was happy to get whatever part to be on it. Pretty cool.
shareClark Johnson, a great director who did many Shield and The Wire episodes, is also in the series finale. For like 15 seconds.
He was also a main character in the final season of the Wire
I saw your post title before seeing the final episode, then didn't read the content because I wanted to look out for it.
I was then CONVINCED it was going to be Frederic Forest (http://gb.imdb.com/name/nm0002078), the great character actor from The Conversation, who also plays the surplus store nutjob in Falling Down. I'm pretty sure he played the ICE agent who was with Corrine when she was unloading at her new place.
Edit: UGH - just realised this was actually director Clark Johnson's cameo. I'll get my coat.