Ernie, Bert, Cookie Monster, the Count, and several other Sesame Street characters made an appearence in the Marty Feldman episode of the Muppet Show...
But I cant remember ever seeing Miss Piggy or any of the other Muppet Show characters on Sesame Street. I always thought that it would be cool if they did that though once in a while though. If the had the Electric Mayhem play a song with the Sesame Street monsters or something like that...
Maybe they would consider doing it still. Even though they are both owned by separate companies, Sesame Street always has famous guest stars. The Muppets can be considered visiting guests now...