I am not the autograph collector I once was, but I have always found it interesting to send and receive signatures through the mail. There are some things to know when pursuing such a venture, but know that most athletes are busy and it may take some time before you get a response.
I have had some success with some of the bigger name sports stars, but I will also include a list of guys you should not even bother with.
Note: Please be respectful in your autograph request and try not to send mail to the personal address of the stars. I find this distasteful to a degree.