Were there Jewish celebrities in 1930s-40s Germany? Did any get special treatment or a forewarning to leave the country, etc?

The first part can be answered pretty easily: there were jewish celebrities in Germany in the 1930ies. Just to name a few, including minor and major celebrities:

Kurt Landauer, President of the FC Bayern München, which became german football champions in 1932 (a local celebrity from Munich)

Erich Collin, singer, member of the Comedian Harmonists (one of the most famous singers of the late 20ies, early 30ies)

Max Liebermann, painter, president of the prussian art academy

The second part of the question is much harder to answer, as individual fates were not uniform during the 1930ies. In some cases, being a celebrity offered a measure of protection, especially if high-ranking Nazis were "fans", in other cases the fame attracted even more persecution.

For example, Kurt Landauer was interned in 1938 in the Dachau concentration camp. He was let go because he fought for Germany in the first world war and emigrated to Switzerland. His status als local celebrity may have helped here.

Hermann Göring gave special protection to the wife of the composer Franz Lehar (Sophie Lehar) after the intervention of his brother. Lehar himself could continue to play music written by jewish people, as he was very popular with Hitler and Goebbels.

On the other hand, Erich Lindemann was murdered on the first of July 1934, i.e. very early in the reign of the Nazis. He had been the head of the Association of Jewish Soldiers and was very vocal about the fact that jewish people had fought for Germany as well as anyone else. It was therefore his political fame that singled him out for murder.

In short, being famous could be beneficial if that person had supporters among the Nazis. It could be very much lethal if the person was seen as a danger to the regime.

I know in the burgeoning film industry, there were plenty of German Jews, as well as a number of Jewish athletes in Germany forced out. There were few Jews given a pass, because the more successful ones were the most vilified for poisoning minds or taking jobs and opportunities away from Aryans.

The best example may have been Fritz Lang, the famous German director responsible for greats such as the silent version of Die Nibelungen, M, Metropolis, and Das Testament des Dr. Mabuse. Lang was ethnically Jewish, but raised Catholic. Lang had the last one banned from German theaters, as it was released in 1933 and had some subtle swipes at the NSDAP. Nevertheless, Goebbels himself was an avid Lang fan, and offered him the head position at the newly nationalized film company UFA. Something didn't sit right with Lang during the meeting, and Lang quickly fled for the USA via Paris.

If you allow me to go off on a tangent here, top German athletes were certainly not given any preferential treatment:

For the athletes, the big year to think about is 1933, when the Deutscher Reichsausschuss für Leibesübungen (soon to be replaced with the Nationalsozialistischer Reichsbund für Leibesübungen, which were the governing body for all sports in Germany) banned Jews from competing in or for Germany. The top athletes fled to Switerland, Poland, the UK, USA, or even South Africa. Also important to note is that the Ameteur Athletic Union was planning on boycotting the 1936 Olympic games if the ban on Jewish athletes held, which prompted the NSRL to "invite" (usually with threats to remaining family members) back for the 1936 games. 2 Jews (Helene Mayer and Rudi Ball) would compete for Germany in those games.

Off the top of my head, I can recall some specific examples of German athletes--who were recognizable to the public, and the top of the field--receiving the same terrible treatment as everyone else, for example:

Gretel Bergmann was the woman's national record-holding high jumper in 1931. By 1933, she was expelled from her club for her Jewish heritage and fled for the UK, where she won the national championships there in 1934. The NSDAP-run government pressured her to return to Germany for the 1936 Olympics. That June, she again broke the German record, but was stricken from the team in favor of Dora Ratjen, who turned out to be a man posing as a woman (which is a deeply tragic story in its own regard, but that's not the question here)
Daniel Prenn was a tennis player, ranked #6 worldwide and #1 European in 1932. From 1928-1932 he was the top German player. during the 1933 bans, he attempted to flee for (and compete for) Poland, based on his birth in Vilnius, but was rejected, eventually landing in the UK. During his German years, he was the victim of many anti-Semitic attempts to strip him of his rankings and awards.
Perhaps the saddest would be Julius Hirsch, a legend for Karlsruher FV, a soccer club in Baden-Württemberg, where he played from 1902-1913 (including youth club years, starting when he was 10 years old). He played for the German natibal team from 1911-1913, scoring 4 goals in just 7 appearances. In 1913 he left Karlsruher for SpVgg Fürth (now SpVgg Greuther Fürth, who have recently played in the 1. Bundesliga, the top flight of German soccer) where he won a German championship. He served in the German Army during the first world war, and was awarded an Iron Cross for his service. He then returned to Karlsruher until his retirement in 1925, but stayed on the coaching staff. In 1933, he voluntarily resigned before being forced out, but penned a letter to the owners of Karlsruher FV, expressing his distaste at how the Jews are being treated, especially ones that suffered defending Germany. You see, Hirsch had a brother that was one of the 12,000 Jews who died in the German army during World War One. 10 Years later, he would enter the Auschwitz KZ, and would never see the outside of it.

But those who received special treatment? I suppose you could count Ball and Mayer, if anyone.

Rudi Ball was one of the top ice hockey players in the world at the time, voted the top European player in 1930. The star of the 1932 Olympic team, Rudi was central in the Germans taking bronze at Lake Place. Then 1933 struck again, and he fled Germany for Switzerland. He spent time there and in Italy, winning and Spengler cup (the most prestigious ice hockey tournament in Europe) 3 times. Ball was not considered for the German team in 1936, until Gustav Jaenecke threatened to not participate unless Ball was invited. While Ball was seen as replaceable, it was only by Jaenecke, so without the both of them, the Germans held no chance of medaling again. The team relented, and Ball used the leverage here to strike a deal to allow his family to leave Germany, providing he stay and compete with a Berlin club after the games, where he eventually tallied a total of 8 German championships before leaving for South Africa in 1948.
Mayer is far less well-known, and may not have been as recognizable as Ball, but she was the undisputed top fencer in all of Germany. Starting at age 13, she won six straight German championships--competing against adults. At 17, she took gold at the Amsterdam Olympics. From ages 18-20, she won world championships. She had a disappointing go at the 1932 LA games, taking 5th. She elected to stay in the US and study at the University of Southern California, until pressure from the AAU forced Germany to invite her for the 1936 games, where she silvered. She had no issue with expressing loyalty to the current German government, because she considered herself German, not holding any favor for her Jewish heritage.