Off the top of my head, instances where these sort of 'cliffhanger' character introductions appear:
- The 10th Doctor in The Parting of the Ways (if we're counting post-regeneration scenes as 'new guest star' introductions)
- Donna Noble in Doomsday
- Simms' Master in Utopia
- The Ood in The Waters of Mars (if that counts)
- The 11th Doctor in The End of Time
- Churchill in The Beast Below
- Kovarian in The Almost People and Closing Time
- The War Doctor in The Name of the Doctor
- The 12th Doctor in The Time of the Doctor
To clarify, this is characters who are introduced into an episode towards the final moments for the purposes of a cliffhanger, who play a prominent role in the following episode. I've probably missed a few.