THE LODGER (1926): At a desk in a newsroom and later in the crowd watching
EASY VIRTUE (1927): Walking past a tennis court, carrying a walking stick.
MURDER (1930): Walking past the house where the murder was committed, about
an hour into the movie.
BLACKMAIL (1929): Being bothered by a small boy as he reads a book in
THE 39 STEPS (1935): Tossing some litter while Robert Donat and Lucie
Mannheim run from the theater, seven minutes into the movie.
YOUNG AND INNOCENT (1938): Outside the courthouse, holding a camera.
THE LADY VANISHES (1938): Very near the end of the movie, in Victoria
Station, wearing a black coat and smoking a cigarette.
REBECCA (1940): Standing close to a phone booth in the final part of the
FOREIGN CORRESPONDENT (1940): Early in the movie, after Joel McCrea
leaves his hotel, wearing a coat and hat and reading a newspaper.
MR. AND MRS. SMITH (1941): Midway through, passing Robert Montgomery in front
of his building.
SABOTEUR (1942): Standing in front of Cut Rate Drugs in New York as the
saboteurs' car stops, an hour in.
SHADOW OF A DOUBT (1943): On the train to Santa Rosa, playing cards.
LIFEBOAT (1944): In the "before" and "after" pictures in the newspaper ad
for Reduco Obesity Slayer.
SPELLBOUND (1945): Coming out of an elevator at the Empire Hotel,
carrying a violin case and smoking a cigarette, 40 minutes in.
NOTORIOUS (1946): At a big party in Claude Rains's mansion, drinking
champagne and then quickly departing, an hour after the film begins.
THE PARADINE CASE (1947): Leaving the train and Cumberland Station,
carrying a cello.
ROPE (1948): His trademark can be seen briefly on a neon sign in the view
from the apartment window.
UNDER CAPRICORN (1949): In the town square during a parade, wearing a blue
coat and brown hat, in the first five minutes. Ten minutes later, he is one
of three men on the steps of Government House.
STAGE FRIGHT (1950): Turning to look at Jane Wyman in her disguise as
Marlene Dietrich's maid.
STRANGERS ON A TRAIN (1951): Boarding a train with a double bass fiddle as
Farley Granger gets off in his hometown, early in the film.
I CONFESS (1953): Crossing the top of a staircase after the opening
DIAL M FOR MURDER (1954): On the left side of the class-reunion photo,
thirteen minutes into the film.
REAR WINDOW (1954): Winding the clock in the songwriter's apartment, a half
hour into the movie.
TO CATCH A THIEF (1955): Ten minutes in, sitting to the left of Cary Grant
on a bus.
THE TROUBLE WITH HARRY (1955): Walking past the parked limousine of an old
man who is looking at paintings, twenty minutes into the film.
THE MAN WHO KNEW TOO MUCH (1956): Watching acrobats in the Moroccan
marketplace (his back to the camera) just before the murder.
THE WRONG MAN (1956): Narrating the film's prologue.
VERTIGO (1958): In a gray suit walking in the street, eleven minutes in.
NORTH BY NORTHWEST (1959): Missing a bus during the opening credits.
PSYCHO (1960): Four minutes in, through Janet Leigh's window as she returns
to her office. He is wearing a cowboy hat.
THE BIRDS (1963): Leaving the pet shop with two white terriers as Tippi
MARNIE (1964): Entering from the left of the hotel corridor after Tippi
Hedren passes by, five minutes in.
TORN CURTAIN (1966): Early in the film, sitting in the Hotel d'Angleterre
lobby with a blond baby.
TOPAZ (1969): Being pushed in a wheelchair in an airport, half an hour in.
Hitchcock gets up from the chair, shakes hands with a man, and walks off to
FRENZY (1972): In the center of a crowd, wearing a bowler hat, three
minutes into the film; he is the only one not applauding the speaker.
FAMILY PLOT (1976): In silhouette through the door of the Registrar of
Births and Deaths, 41 minutes into the movie.
I've seen it stated in several sources that he appeared in all of his movies
from THE LODGER (1926) onwards, so he definitely doesn't appear in:
THE PLEASURE GARDEN (1925)
THE MOUNTAIN EAGLE (1926)
However, the following movies (mostly early British ones) are missing from
the above list:
Farmer's Wife, The
Jamaica Inn (1939)
Juno and Paycock
Man Who Knew Too Much, The (1934)
Rich and Strange
Ring, The (1927)
Skin Game, The (1931)
Waltzes from Vienna
[Thanks to Colin Needham, firstname.lastname@example.org, for this answer.
Colin maintains a more extensive "Hitchcock Information File"
available on request.]