When Devo admits to being jealous of Dare To Be Stupid and a critic comments that Weird Al had out-Devoed Devo.
Reportedly, Kurt Cobain said that he only really knew he hit the big time when Weird Al parodied one of his songs.
He also, reportedly, cracked up the entire time when he first saw the video for "Smells Like Nirvana".
Cobain is by no means the only guy who's expressed this particular sentiment (either example).
Weird Al's even Covered Up with a parody song. Chamillionaire, whose song "Ridin'" was the basis for "White & Nerdy", reported that he received praise from people overseas, saying "people were telling me they had heard my version of Weird Al's song".
Al wrote the lyrics to "The Saga Begins" with 99% accuracy... without having seen The Phantom Menace. He got all of his information from fan sites and went to see a pre-screening only to check his work.
It's said that, when Weird Al went to watch the pre-screening, he actually cheered when Anakin told Shmi that he was going to be a Jedi.
According to one report, he sent the song to George Lucas before the album released, and was told later, "You should have seen the look on his [George's] face."
And Don McLean admitted that since his kids also played the song so often, when Don performs "American Pie" in concert, at times he accidentally sings Al's lyrics.
ALBUQUERQUE. (Superfly, "I. HATE. SAUERKRAUT.", the Hermaphrodite, and the point where he loses track of the story all count.)