I just interviewed the director of Anchorman 2 Adam Mckay which I will post on here when it runs. He told me who were potentially up for the main roles:
Paul Rudd's role came down to him and Bob Odenkirk or Sal from Breaking Bad, James Spader wanted to play Steve Carells part but they picked Steve, Leslie Mann, Maggie Gyllenhaal and Amy Adams were also up for Christina Applegates role.
In the new Anchorman 2 some of the cameos they tried to get but got turned down:
Oprah, Bill Clinton and Barak Obama