As a player, Lee Bowyer won the League Cup with Birmingham. He went back there as manager this season, with them in a very precarious position, and comfortably kept them up. Diego Simeone won the double as a player with Atlético Madrid. He has won two Ligas as their manager, and reached the Champions League final.
Howard Kendall went back to Everton and got them out of a relegation scrap. For us, the only other one I can think of at the moment is Ian Banks.