It started being a common thing in the early 90's, rock artists would go into radio stations and "take over as jocks". But one of the first big times it happened in America, and, importantly, where the artist actually did a real show live, was on HCN in 1988.

Here's a partial (maybe I'll find the whole thing eventually) of Bruce Dickenson the morning after Iron Maiden played the Hartford Civic Center in July 1988.

BTW: I was, as usual, still at the station that morning when Dickenson showed up; Honestly we didn't think it was going to happen because it was just a casual suggestion to him either at the show the night before or a few days before. Anyway, I remember being up in the lounge having a too-long-night-bleary cigarette and trying to come up with an angle for a spot and into the room he walks all bright eyed and bushy tailed with a tall, all-leg a-freaking-mazing blonde on his arm. I made him a coffee, tried desperately to keep my eyes off of his girl and was completely floored when he went downstairs, turned his own mic on and just did a great radio show.

Like I said, this is just a partial tape, he actually did hours and didn't want to stop.