Scrolling back through the thread, I ran across your post and thought for a second you were talking about Steve Allen. Multi-talented, yes; currently active, no.
What, no love for Kinky Friedman? 
Seriously, though, I would put Christopher Guest up there - writes and directs very funny movies, is a very good musician (Nigel Tufnel buffoonery notwithstanding), he’s an English baron and he’s been banging Jamie Lee Curtis since she was the hottest chick in Hollywood.
Buckaroo Banzai
I was tempted to add him to my post but it was getting crowded.
Allen basically invented late night as we know it today. Letterman ripped off his bits by the handful but everybody steals from him. While he’s not a great songwriter, “This Could Be the Start of Something Big” is a certified hit and standard. He did several jazz albums as spoofs under pseudonyms that got excellent reviews. His collection of “Bop Fables,” Aesop’s Fables retold in jazz slang, is a small classic. Several of his short stories were reprinted in Best of the Year collections. He wrote one of the first serious books on comedians, Funny Men, and two sequels. The Meeting of Minds series was highly acclaimed. He wrote about 50 other books. (Though not the mysteries published under his name.) He did a decent job acting in The Benny Goodman Story.
He was not just good but very good in a number of fields. That counts a lot more for me than multi-hyphenates whose work nobody would notice except for their name.
Yes, but the question is whether he is any good at all those things? I only know of him as a reasonably well-respected actor and a widely derided director. Is he known by motorcycle race fans as a serious competitor? Most any decent actor can learn a skill well-enough to fake being more skilled than they actually are - Richard Gere learned the cornet to play solos in “The Cotton Club”, but he has not used the skill in any other films, nor have I heard of him doing concerts. But Dudley Moore was a skilled pianist, as is Jamie Foxx. I define a skill as “something you do well enough that people will pay”.
He’s very respected as a musician, though totally outside of the mainstream. He’s collaborated with Sean Lennon and John Frusciante. All the reviews I’ve read or heard of his shows have been positive.
His paintings and drawings are great, at least I think so.
Brown Bunny was widely ridiculed but Buffalo 66 (written, directed, and starred in by Gallo) is pretty universally well-regarded. I think Brown Bunny is at least impressive for the fact that everything about it was done by Gallo himself, from the acting, directing and production to the writing and recording of the music.
I think he was pretty damn obscure as a motorcycle racer but that’s still quite an accomplishment that he was in the pro circuit at all.
Speaking of Steve Martin’s banjo playing, isn’t **Weird Al Yankovic **a highly accomplished accordion player? One might say that falls under his musician role, though I think it’s bordering to a different kind of talent.
Hugh Laurie also manages to do what he does and be a good father and husband.
Steve Martin has had many relationships and a divorce. Woody Allen…well, let’s not go there.
I get you, man. I mean, I at least have the muscular forearms. Piercing blue eyes, acid wit, and sarcasm-masking-vulnerability are overrated.
What about OJ Simpson? Football player, sportscaster, commercial spokesman, actor, golfer, and having the ability to get away with murder must count for something. Of course, he’s not “currently active.” 