Aside from, obviously, David Duchovny, more than a handful of the regular Twin Peaks cast showed up in the X Files. Shapes ft. Michael Horse and Humbug ft. Michael J. Anderson are two particularly great early episodes.
Don S. Davis played Maj. Garland Briggs in Twin Peaks and Captain William Scully, Dana Scully's father in the X-files first season (and in one or two later cameos). In both he plays a stuffy high ranking military officer which is quite amusing.