Hey! I liked Kiss Meets the Phantom of the Park! (Granted, I was in elementary school when it aired.)
It just occurred to me that, in addition to playing themselves, they also play their evil robot impostors. So they do qualify for this thread, on a technicality.
Another one I thought of, that I don’t think has been mentioned yet…In the later seasons of Community we learn that Britta and Elroy are devoted fans of an old 90’s band called Natalie Is Freezing. The lead singer of Natalie Is Freezing, Julie*, is played by Lisa Loeb.
*Everyone always thinks her name is Natalie. Why would the band’s name be her name?
To me that was the greatest thing ever. I was in 4th grade. I hurried home from trick or treating just to watch it.
Game of Thrones had a few cameos from bands. Sigur Rós as the musicians at Joffrey’s wedding/murder are the ones I remember best.
Ed Sheeran as a Lannister soldier sang a song, too.
In Austin Powers Matthew Sweet and Susanna Hoff perform as Ming Tea, which is described as a faux retro band.
The 1966 Woody Allen film “What’s Up Tiger Lily” features a brief and uncredited performance by The Lovin’ Spoonful. According to a Wikipedia article What's Up, Tiger Lily? - Wikipedia, this was one of several scenes added in post production without Allen’s approval.
Matthew Sweet and Susannah Hoffs also do a kickass version of “Different Drum,” too.
I dunno if this qualifies, but in the movie Ricki and the Flash, Meryl Streep’s backing band (the titular Flash) are played by guitarist Rick Springfield, drummer Joe Vitale, and keyboardist Bernie Worrell. Rick Rosas appeared as their bass player.
All You Need is Cash, a parody of the Beatles, featured the Rutles, with musicians Neil Innes of the Bonzo Dog Band; Ricky Fataar, of the Beach Boys, Bonnie Raitt, and many others; and John Halsey, who performed with Lou Reed and others.