Can't really think of a negative experience, not that I've come across many anyway. Working near the Hill, I do see a lot of media/talking heads but I wouldn't necessarily consider them "celebrities". If we happen to cross each other's path, I might nod and if I like their work, I'll say that and KIM, and invariably get a smile and usually a "thank you!" or something in response.
Stephen A. Smith held the door open for my wife and me as we were all entering a Fridays in Times Square back in '03. Actually waited for us, as we were a good distance behind him. We recognized him but didn't want to make a scene (especially since he had a companion - looked like a blatina, not sure) so we just smiled and thanked him, and he smiled and nodded.
Also remember seeing Chris Webber, during his time as a Bullet-Wizard, hooping at the old North Gym on UMd.'s campus. Really down to earth, seemed like just a regular, chill brother. Know others who've had same/similar encounters.