If you rip all your albums to a hard drive (and have a fairly extensive collection) it's a snap to do this with any reasonably good music player application, such as itunes. I often check out all the versions I have of a song. Not all album metadata contains all the participants but it often does, so I can often search and find sideman appearances too. The difficulty for most with a large collection is if you haven't been ripping everything to hard drive all along, it could take a long time and a lot of labor to rip them all now!
Many years back I wrote to allmusic asking them to expose an interface which would allow you create queries connected by 'and' and 'or' to allow search for two musicians on the same album, etc. They never replied and the site has gone downhill so badly I no longer use it.