I thought that it would be fun to take a look at all the characters that have appeared in both the D&E novellas as well as the main series so far, as well as speculate about the future characters who could be as well.

List of characters who have/will/might appear in both the Dunk & Egg novellas and the main series as well.

Confirmed

We have already encountered (or have seen) several characters from the main series in the existing Dunk and Egg books.

Bloodraven

Dunk thinks back on seeing him in the Sworn Sword:

Six years ago in King's Landing, Dunk had seen him with his own two eyes, as he rode a pale horse up the Street of Steel with fifty Raven's Teeth behind him. That was before King Aerys had ascended to the Iron Throne and made him the Hand, but even so he cut a striking figure, garbed in smoke and scarlet with Dark Sister on his hip. His pallid skin and bone-white hair made him look a living corpse. Across his cheek and chin spread a wine-stain birthmark that was supposed to resemble a red raven, though Dunk only saw an odd-shaped blotch of discolored skin. He stared so hard that Bloodraven felt it. The king's sorcerer had turned to study him as he went by. He had one eye, and that one red. The other was an empty socket, the gift Bittersteel had given him upon the Redgrass Field. Yet it seemed to Dunk that both eyes had looked right through his skin, down to his very soul. -The Sworn Sword

He later appears (likely) as Maynard Plumm in the Mystery Knight

Lord Walder Frey

Walder shows up at the traitor's wedding with his father:

His melancholy ponderings were rudely interrupted when a troupe of painted dwarfs came bursting from the belly of a wheeled wooden pig to chase Lord Butterwell's fool about the tables, walloping him with inflated pig's bladders that made rude noises every time a blow was struck. It was the funniest thing Dunk had seen in years, and he laughed with all the rest. Lord Frey's son was so taken by their antics that he joined in, pummeling the wedding guests with a bladder borrowed from a dwarf. The child had the most irritating laugh Dunk had ever heard, a high shrill hiccup of a laugh that made him want to take the boy over a knee or throw him down a well. If he hits me with that bladder, I may do it.

"There's the lad who made this marriage," Ser Maynard said as the chinless urchin went screaming past. -The Mystery Knight

Also confirmed by GRRM:

Yes, the role is Walder Frey, Lord of the Crossing. The Late Lord Frey, wedding caterer of infamy, who annoyed Dunk when just a child in "The Mystery Knight." And the actor is DAVID BRADLEY, best known for his portrayal of Argus Filch in the Harry Potter films. Who was presumably named after Argus the shipwright, who built the ARGO for a lad named Jason once upon a time. -SSM, Wedding Guest: 24 November 2010

Maester Aemon

Egg's brother Aemon had measured him in Oldtown and found he lacked an inch of seven feet, but that was half a year ago. He might have grown since. Growing was the one thing that Dunk did really well, the old man used to say. -The Sworn Sword

and he likely gave them Maester:

Chestnut had died on the long dry ride to Vaith, that part was true. He and Egg rode double until Egg's brother gave them Maester. The rest of it, though . . . -The Sworn Sword

Its possible we could see both of them again as Bloodraven is not only a feature character during this time period (the Village Hero will likely take place near Raventree Hall), but Dunk also accompanies them both to Eastwatch:

"When last I passed this way, I saw every rock and tree and whitecap, and watched the grey gulls flying in our wake. I was five-and-thirty and had been a maester of the chain for sixteen years. Egg wanted me to help him rule, but I knew my place was here. He sent me north aboard the Golden Dragon, and insisted that his friend Ser Duncan see me safe to Eastwatch. No recruit had arrived at the Wall with so much pomp since Nymeria sent the Watch six kings in golden fetters. Egg emptied out the dungeons too, so I would not need to say my vows alone. My honor guard, he called them. One was no less a man than Brynden Rivers. Later he was chosen lord commander." -AFFC, Samwell II

Extremely Likely

Old Nan

Not only does my guy Dunk seem to make a few lady friends everywhere he travels (Rohanne, Tanselle), its also possible that Bran sees Dunk/Nan in a vision:

After that the glimpses came faster and faster, till Bran was feeling lost and dizzy. He saw no more of his father, nor the girl who looked like Arya, but a woman heavy with child emerged naked and dripping from the black pool, knelt before the tree, and begged the old gods for a son who would avenge her. Then there came a brown-haired girl slender as a spear who stood on the tips of her toes to kiss the lips of a young knight as tall as Hodor. A dark-eyed youth, pale and fierce, sliced three branches off the weirwood and shaped them into arrows. The tree itself was shrinking, growing smaller with each vision, whilst the lesser trees dwindled into saplings and vanished, only to be replaced by other trees that would dwindle and vanish in their turn. And now the lords Bran glimpsed were tall and hard, stern men in fur and chain mail. Some wore faces he remembered from the statues in the crypts, but they were gone before he could put a name to them. -ADWD, Bran III

Dunk seems like he could have left a ton of bastards all over the place.

If interested: What We Know: The She-Wolves of Winterfell.

Barristan Selmy

Competed as a "mystery knight" against Dunk:

Ser Barristan of House Selmy. Firstborn son of Ser Lyonel Selmy of Harvest Hall. Served as squire to Ser Manfred Swann. Named "the Bold" in his 10th year, when he donned borrowed armor to appear as a mystery knight in the tourney at Blackhaven, where he was defeated and unmasked by Duncan, Prince of Dragonflies. Knighted in his 16th year by King Aegon V Targaryen, after performing great feats of prowess as a mystery knight in the winter tourney at King's Landing, defeating Prince Duncan the Small and Ser Duncan the Tall, Lord Commander of the Kingsguard. -ASOS, Jaime VIII

If he finishes D&E:

There are projected to be up to a dozen or more D&E novellas and while the likelihood of him finishing them all isn't super high, its fun to speculate about.

If interested: Speculation on the Future of the Dunk and Egg Series

But I do have notes and fairly specific ideas for a number of them. There's the one set in the north that people have been calling "The She-Wolves of Winterfell," though that will not actually be the title. After that -- or maybe before, if I jump around in time -- there will be "The Village Hero," "The Sellsword," "The Champion," "The Kingsguard," "The Lord Commander," and several more in between. -SSM, How Many Seasons: 19 March 2015

Members of the Golden Company (Harry Strickland)

If Dunks up as a sellsword he could meet older members of the Golden Company:

It is a mark of weakness. You sound like an old woman. The Stricklands had been part of the Golden Company since its founding, Harry's great-grandsire having lost his lands when he rose with the Black Dragon during the first Blackfyre Rebellion. "Gold for four generations," Harry would boast, as if four generations of exile and defeat were something to take pride in. -ADWD, The Lost Lord

Olenna Redwyne

Olenna was originally betrothed to Daeron Targaryen (who broke it off and seemed to prefer Jeremy Norridge).

Both Daeron/Jeremy died during the rebellion led by the Rat, the Hawk and the Pig.

Dunk could encounter Olenna at Oldtown/Highgarden, etc.

Ghost of High Heart

Zollo asked George whether he would continue with the naming pattern that he has used for the first two Dunk & Egg stories, essentially titling them after what stage Duncan is in his career. At one point I mentioned that the last could just be called "Summerhall".

He said he was considering it, and might well do so if he could come up with good titles in that mode and they actually fit with the story. When I fished with that suggestion for the last Dunk & Egg story, I believe -- but cannot verify -- that George gave me a curious look. It may be that I hit close to the mark, or it could just be my imagination. SSM, Interaction (Glasgow, Scotland) : 4 August 2005

If the last D&E book is about Summerhall, we should see the Ghost of High Heart there:

The dwarf woman studied her with dim red eyes. "I see you," she whispered. "I see you, wolf child. Blood child. I thought it was the lord who smelled of death . . ." She began to sob, her little body shaking. "You are cruel to come to my hill, cruel. I gorged on grief at Summerhall, I need none of yours. Begone from here, dark heart. Begone -ASOS, Arya VIII

and:

"A woods witch?" Dany was astonished.

"She came to court with Jenny of Oldstones. A stunted thing, grotesque to look upon. A dwarf, most people said, though dear to Lady Jenny, who always claimed that she was one of the children of the forest."

"What became of her?"

"Summerhall." The word was fraught with doom. -ASOS, Daenerys IV

Possible (but unlikely)

Rohanne Webber

At the end of the Sworn Sword, Rohanne marries Ser Eustace, but later marries into House Lannister.

Rohanne would be extremely old at this point (~115), but she is rumored to use sorcery:

Just how many husbands has she had, do you know?"

"Four," said Egg, "but no children. Whenever she gives birth, a demon comes by night to carry off the issue. Sam Stoops' wife says she sold her babes unborn to the Lord of the Seven Hells, so he'd teach her his black arts." -The Sworn Sword

I doubt she is still alive but she does disappear in 230 AC under mysterious circumstances:

His beloved second wife, Lady Rohanne, vanished under mysterious circumstances in 230 AC,

Ellen Reyne seems to indicate some foul play:

In 240 she gave him a daughter, whom she named Rohanne. In 241 another daughter, Cyrelle. Both these names were carefully chosen, Maester Belden points out. “Daggers aimed at Lord Gerold’s heart,” he calls them. In 242 Lady Tarbeck produced a son, a lusty red-haired boy she named Tion. -TWOIAF (unabridged), The Westerlands: House Lannister Under the Dragons

Since Gerold was possibly a friend of Egg's we could definitely see Rohanne pop up again (at least in D&E):

The chaos caused by the death of King Maekar I during the Storming of Starpike has been abundantly chronicled elsewhere, so we need not treat of it here. Suffice it to say that the matter of succession was so tangled that the King’s Hand, Lord Brynden (Bloodraven) Rivers summoned a Great Council to settle the issue. The assembled nobles, swayed in no small part by the eloquence (and, some suggest, the gold) of Lord Gerold the Golden, ultimately awarded the Iron Throne to Prince Aegon, who would rule the Seven Kingdoms for the next twenty-six years as King Aegon V (the Unlikely). -TWOIAF (unabridged), The Westerlands: House Lannister Under the Dragons

Maegor (son of Aerion)

We see Maegor's father Aerion in the Hedge Knight, and its quite possible that Aerion is involved in other D&E stories as I think it is likely that he was the one to slay Haegon Blackfyre. That said Maekar disappears from our story and while its possible he ends up on Egg's Kingsguard or even as the Smiling Knight, the miniscule possibility exists that he is alive.

We should at least hear about Maegor during the Great Council (in whichever D&E covers it).

Lastly it should be noted that descendants of Aerion would be "bright dragons":

"Dragons," Moqorro said in the Common Tongue of Westeros. He spoke it very well, with hardly a trace of accent. No doubt that was one reason the high priest Benerro had chosen him to bring the faith of R'hllor to Daenerys Targaryen. "Dragons old and young, true and false, bright and dark. And you. A small man with a big shadow, snarling in the midst of all."

Coldhands

If Coldhands is a member of House Blackwood or one of the Raven's Teeth (or both), its possible that we could encounter him in a D&E story.

Young Characters

As Dunk and Egg will have to end by 259 AC (Summerhall), since:

The snail may leave a trail of slime behind him, but a little slime will do a man no harm… whilst if you dance with dragons, you must expect to burn." -The Mystery Knight

That means in a similar fashion to how Dunk meets Walder Frey, we could meet several characters, who won't affect the plot of a book, but could just exist due to a passing line, etc.

For instance:

- Illyrio/Varys

- Tywin and his siblings

- Jon Arryn

- Hoster Tully

- Shella Whent

- Leyton Hightower

- Maggy the Frog

- Other Maesters (Cressen/Walgrave)

- The Tattered Prince

Sadly we probably won't end up getting most of this, but it is still fun to speculate about. It is optimistic to know that it only takes him a few months to finish a D&E book normally due to the shorter length, lighter tone and fewer tie ins.

TLDR: List of Characters that could appear in both D&E and the main series.