Maybe it's just me, but the appearance of the A-M City Watch in "Hogfather" just didn't ring quite true. Likewise the brief appearance of Nanny Ogg in "Thief of Time" somehow didn't quite seem like the real Nanny Ogg.
It's weird, I know, but whenever a discworld book has one of these crossovers, it just doesn't work for me. Of course, the one obvious exception is Death, because strictly speaking he cameos in everyone elses books, but somehow he stays himself. The others always appear slightly "different" somehow when they appear unexpectedly.
Anyhoo, just something I've noticed.