The first one that came to my mind, however, are the Sandman-character appearances in Geoff Johns' first JSA run. Comics Alliance also has a nice run-down, but mentions JSA only briefly and not in as much detail as the appearances by the Sandman Daniel in JLA -- but I found at least twice that Daniel physically appears in JSA.
Remember that in Infinity Inc. #49-51 (when, oh when, will this series be collected?), Hector Hall (Silver Scarab, son of the Golden Age Hawkman and Hawkwoman, and later the JSA's Doctor Fate) returned from the dead supposedly as the new Sandman. Gaiman's Sandman revealed Hall's position to be false, but yet the son of Hall and his wife Lyta, named Daniel, was destined to become the Sandman after Gaiman's Morpheus.
Hall dies, but is later resurrected in JSA: Justice Be Done; he's reunited with Lyta in JSA: Black Reign.
The Sandman backstory is ever-present (in continuity, even) throughout Hector and Lyta's appearances in JSA, but Johns also throws in a specific cameo or two.
JSA: Lost, where the Sandman Daniel warns Per Degaton
from harming his parents.
JSA member Sanderson "Sand" Hawkins, now the Sandman, dons Hector Hall's Sandman guise also in JSA: Lost.
Hawkins as Hector's Sandman, with Sandman characters Brute and Glob, from JSA: Lost.
JSA artist Keith Champagne writes the story that puts Hector and Lyta to rest in JSA: Mixed Signals. See the shadowy Sandman Daniel saving Hector and Lyta's lives by drawing them into his dream world.
There you have it -- still more precedent for Sandman characters in the DC Universe!