I haven't done it either, but I agree with Steph; it's fun to see other writers, like Stephen King, do it. I love finding those little Easter eggs.
I think it's a little harder to do with fanfic characters because, as Steph pointed out, we use the same main characters in every story, and most of our original characters are their love interests, so it doesn't make much sense for them to exist in each other's stories. It works better in Stephen King stories, since they almost all take place in Maine but have different characters - you can imagine Maine as this whole crazy Stephen King universe where they all exist and scary things happen to them LOL.
I don't think I've ever done it with my own characters, but I had the idea once to give cameos to my favorite original characters from other people's fanfics. I never did it though; it was either an idea for a story I haven't written yet, or I changed my mind. I don't even remember LOL. In my collabs, though, we include cameos by characters from other stuff - 00Carter has Mulder and Scully from The X-Files in one episode and characters from ER in another; Song for the Undead is using characters from British zombie movies, 28 Days Later and Shaun of the Dead. In that case, it's just a fun way to pay homage to the stuff that's inspired us.