"Rrose Sélavy, the feminine alter-ego of the late French artist, Marcel Duchamp, remains one of the most complex and pervasive pieces in the enigmatic puzzle of the artist's oeuvre. She first emerged in portraits made by the photographer Man Ray in New York in the early 1920s, when Duchamp and Man Ray were collaborating on a number of conceptual photographic works. Rrose Sélavy lived on as the person to whom Duchamp attributed specific works of art, Readymades, puns, and writings throughout his career. By creating for himself this female persona whose attributes are beauty and eroticism, he deliberately and characteristically complicated the understanding of his ideas and motives. More contemporary artists like J. S. G. Boggs, Yasumasa Morimura, and Grayson Perry have also explored cross-dressing." "- Cross-dressing actors and actresses: In Renaissance England it was illegal for women to perform in theatres, so female roles in the plays of Shakespeare and his contemporary playwrights were originally played by cross-dressing men or boys. (See also Stage Beauty.) Therefore the original productions of the above-mentioned Shakespeare plays actually involved double-cross-dressing: male actors playing female characters disguising themselves as males. Cross-dressed female actors are referred to as playing "trouser roles," a historical example of an actress famous for trouser roles is Julie d'Aubigny, AKA "La Maupin" (1670–1707). All roles in Japanese Noh dramas are traditionally played by male actors. Actors playing female roles wear feminine costumes and female-featured masks. Japanese Kabuki theatre began in the seventeenth century with all-female troupes performing both male and female roles. In 1629 the disrepute of kabuki performances (or of their audiences) led to the banning of women from the stage, but kabuki's great popularity inspired the formation of all-male troupes to carry on the theatrical form. In Kabuki, the portrayal of female characters by men is known as onnagata. In ancient China, nearly all the characters in Chinese Opera were performed by men, so that all the male actors, who played the role of a female were crossdressing. A famous cross-dressing opera singer is Mei Lanfang. From early 20th century, Shanghai yue opera (or Shaoxin opera) is developed from all male to all female genre. Although male performers were introduced into this opera in 1950s and 60s, today, Shanghai yueju (yue opera) is still associated as the only all female opera and the second most popular opera in China. The Monty Python troupe have been known to cross dress for comedic purposes in their TV series and films. The troupe usually dress up as older, more unarousing women referred to by the troupe as "pepperpots". Although member Terry Jones was most famous for his female characters, all the members have been seen in drag in one sketch or another; members Michael Palin and Eric Idle have been said to look the most feminine, Graham Chapman specialized in screeching, annoying housewives and John Cleese, whom the troupe has said is the most hilarious in drag, appears so extremely unfeminine, with his square chin and six-foot, five-inch frame that it is funny. Cleese also wore female clothes while appearing as himself in a magazine advertisement for American Express. For more information about cross-dressing in movies and television, see the article Cross-dressing in film and television. Matt Lucas and David Walliams regularly cross-dress in the Little Britain television comedy show, with Lucas in particular often somewhat more feminine and convincing in his appearance and performances than cross-dressing comedians of the past. The two also sometimes play a pair of unconvincing transvestites as a parody of some cross-dressers who try to act in a stereotypically feminine way while not succeeding in "passing" as women. The British writer, presenter and actor Richard O'Brien sometimes cross-dresses and ran a "Transfandango" ball aimed at transgendered people of all kinds in aid of charity for several years in the early 2000s. The Takarazuka Revue is a contemporary all-female Japanese acting company, known for their elaborate productions of stage musicals. Takarazuka actresses specialize in either male or female roles, with male role actresses receiving top billing. In pantomime plays that are traditionally adaptations of fairy tales and performed around Christmastide, the role of lead male was once commonly played by a principal boy—a young, attractive, female. This practise has fallen out of favour recently, with popular male television and pop stars taking these roles. Conversely, the role of a pantomime dame, a middle aged woman played by a man for comic relief, is still one of the mainstays of the Pantomime. In Star Wars Episode IV: A New Hope, the male alien bounty hunter Greedo was portrayed by both a male and a female, each acting in different shots. Michelle Ehlen plays a butch lesbian actress who gets cast as a man in a film in the comedic feature Butch Jamie. Eddie Izzard, a British stand-up comedian and actor, states that he has cross-dressed his entire life. He often performs his act in feminine clothing, and has discussed his cross dressing as part of his act. He calls himself an 'executive transvestite'. Classic trouser parts (male characters intended to be played by women) include the title character in Peter Pan (J.M. Barrie) and Cherubino in The Marriage of Figaro (Beaumarchais) - Opera: An entire cross-dressing genre of operatic roles, called "pants roles", "trouser roles", or "travesty roles". These are male roles performed by women, typically mezzo-sopranos but occasionally by sopranos. Some female opera singers specialize in these types of roles. A major artistic reason for "pants roles" was that some storylines required young boy characters, but the actual performance required an adult's vocal strength and stage experience in addition to a high, boyish voice. Women were thus better suited to these boy roles than actual boys. Some examples of these boyish pants roles are Cherubino in "The Marriage of Figaro," Siebel in "Faust," and Hansel in "Hansel and Gretel". Other pants roles were created due to the need for an adult male character to seem other-worldly (Orpheus in "Orfeo ed Euridice") or unmanly (Prince Idamante in "Idomeneo," respectively). In some cases, the casting of a woman in a "pants role" may have been just an excuse to have an attractive actress appear in tight-fitting trousers. During the Grand Opera era, women typically worn voluminous dresses onstage. Some male operatic roles originally written to be sung in the voice range of castrati (men castrated in boyhood, whose voices never descended into the normal male register) are now usually cast with female singers in male costume. Beethovens' only opera, Fidelio, is unusual in that it features a female character who cross-dresses as part of the plot. Fidelio involves a woman who disguises herself as a young man as part of a plan to rescue her husband from prison. In the early 20th century, German composer Richard Strauss included a major trouser role in two operas: the Composer in "Ariadne auf Naxos" and Octavian in "Der Rosenkavalier." [ - Music: The Kinks' 1970 hit "LOLA" is a song about an encounter with a transvestite. Pete Burns, the lead singer of the New Wave band Dead or Alive, cross-dressed in the bands' music videos, performances, and in his appearances on TV. The late actor and singer Harris Glenn Milstead became known for his drag persona, Divine. Prince, in his early career made andrgynous fashion choices; he currently wears high-heeled shoes. Marilyn Manson often wear androgynous costumes in their performances, music videos and public appearances. Kurt Cobain, the lead singer of the American grunge band, Nirvana often cross-dressed at home and on stage. Billie Joe Armstrong of Green Day wrote a song about cross-dressing called King for a Day. Mana is a Japanese musician and fashion designer who often cross-dresses. Brian Viglione, member of the punk cabaret group The Dresden Dolls, has cross-dressed since he was 12 years old. The Who's song "I'm a Boy" is about a young boy dressed as a girl. The Bitch and Animal song "Drag King Bar" is about cross-dressing. "Be My Human Tonight" by Norman Iceberg also talks about the concept. Queen cross-dressed in their video for the song, "I Want to Break Free". L'Arc-en-Ciel In the PV for "My Heart Draws a Dream" Tetsu can be seen wearing a girls' school uniform skirt when the band is shown. Annie Lennox is seen dressed in a suit, tie, gloves, and cane in the music video for Sweet Dreams (Are Made of This). The rock band Twisted Sister often dresses cross dressed on stages and photo shoots. Red Hot Chili Peppers frontman Anthony Kiedis has been known to crossdress on stage and, occasionally, in videos. - Cross-dressers from other fields: The British writer and doctor Vernon Coleman cross-dresses and has written several articles defending men who cross-dress, stressing they are often heterosexual and usually do not want to change sex. U2 wore dresses on the Achtung Baby sleevenotes. Led Zep also dressed in drag in one of the pics on Physical Graffiti , they also hung out with drag queens. Steven Tyler of Aerosmith is a known crossdresser." Source and further information: http://en.wikipedia.org/wiki/Cross-dressing#Cultural_examples

In addition to iwnit's excellent answer, I could just add some names of contemporary artists: Grayson Perry, Eva und Adele, Jürgen Klauke, Urs Lüthi, Luciano Castelli.

Frida Kahlo, I think...but not sure