Absolutely.
I've seen a few A-Listers in First Class (when I used to fly first class).
I also remember seeing the Billy Joel special on the final play at Shea Stadium, and how Sir Paul McCartney was whisked from his first class seat, rushed through customs, and police escorted to Shea Stadium just in time to sing a final song with Joel.
If Sir Paul can fly commercial, I guess we all can...
And he can probably afford to buy a few Jets. But why? First is pretty good and you don't have to put up XXX Million in advance just to have a seat.
I've actually known a few moderately wealthy people whom are more prone to fly private than celebrities. Most of these guys are serious entrepreneurs and need to be, say, in Dallas at 8:30, then Chicago at 2:00, then back to NYC for a late dinner with their banker. For them private works.
PS. "E-List flies Southwest Airlines" - I guess I'm an E-Lister. "E"conomically-Minded