I am in two campaigns, I DM one and play in another. All of the players and the DM of the group I play in are also in the group I DM for.
Once upon a time, the party of the campaign in which I play a character was strapped for cash and in the middle of a bustling city. Our neutral good fighter had some moral objections to outright stealing, but we needed gold and NOW or we weren't getting horses we needed to make it to <quest objective> before the villain, so instead we decided we'd run a little con of sorts. Get consent to rob them blind and what not.
We set up our Warlock as a fortune teller and she roleplayed a bit, gave out some false prophecies and what not. And then a young halfling called Billy rocked up. Billy was a nervous sort, looked a little down on his luck and uncomfortable with his lot in life. Anyway, he stuttered a bit, asking about his fortune, and it looked like this was going normally. The magnificent fortune telling warlock delivers some prophecy about finding an exotic woman in the near future and finding his calling in a far away land, I show up with my Tiefling Wizard and proceed to try to convince him that I am that exotic woman. My persuade roll is poor, but the warlock's? Nat 20, of course! So Billy stares intently at this Warlock for a minute, goes quiet, looks at his hands. I feel like I may have revealed this was a set up, it's a little tense. Billy finally looks up and says "I... I-I've got this sudden urge to be a long distance mailman!" and he takes off like a racehorse, meanwhile I'm screaming "NO DON'T LEAVE ME BILLLYYYYYY" to try and keep up the ruse.
It was pretty amusing at the time, but then the next session, he arrived in a distant land, in which the campaign I run takes place, bearing an urgent message for the party. As soon as he said his name was Billy the DM of the campaign Billy first appeared in completely lost his shit, and it started a healthy tradition of us stealing each others' characters and giving epilogues and origin stories for them, which the other DM honors.