I recognize that Bill initially limited this to famous individuals other than Hollywood celebrities. Yet several posters have posted several nonetheless, and I wanted to participate in this post and couldn't think of any non-Hollywood types. So here are a few more:
Steve Martin (worked in a magic shop and used to do a hilarious magic act parody called The Great Flydini)
Danny Kaye (used magic during his work with UNICEF)
Orson Wells (already posted, but worth posting again)
Dick Cavett (one site notes "Before leaving for college, he . . . began doing magic shows for $35 a night under the tutelage of Gene Gloye. He attended the 1952 convention of the International Brotherhood of Magicians in St. Louis and won Best New Performer trophy. Around the same time, he met fellow magician Johnny Carson, 11 years his senior, who was doing a magic act at a church in Lincoln.").
Incidentally, one page that contains an extensive list of celebrity magicians can be found at: http://www.magictricks.com/library/celebmagic.htm