Nothing is more immediately identifiable about these movies than their casts, which are made up of a huge variety of names - apart from Pegg and Frost, that is - showing up in roles of differing sizes. Sometimes, they just have a cameo; sometimes, they're integral to both plot and theme.
Most of them only appear in two of the three pictures apiece -Patricia Franklin, for example, has minor parts in Shaun of the Dead and Hot Fuzz, while Paddy Considine and David Bradley appear in both Hot Fuzz and The World's End and Reece Shearsmith has roles in Shaun of the Dead and Hot Fuzz. On the other hand, some of them went for the turkey and took roles in all three.
Perhaps most notably, Martin Freeman received increasingly larger roles throughout the series, from his walk-on in Shaun of the Dead, to his brief scene in Hot Fuzz, to his significant supporting part in The World's End. Julia Deakin and Rafe Spall both have mostly small bits in each (though Spall, playing one of the two Andys, does enjoy more visibility in Hot Fuzz).