I wouldn't worry about it - especially for Lost.

I have heard a story before about each cast member of a TV show having received a heartfelt letter from a fan, and them telling the others about it only to find out that they ALL received the same letter (for the most part)

It could be an "urban legend", so to say, of autograph collecting, but it is still very possible either way.

I doubt that they would compare mail or even notice that everyone is getting something from you. There's hundreds of fan mail each day; it would be near impossible noticing something like that.

Very, very unlikely! I have sent tons of letters to the cast of Coronation Street & Emmerdale in the past few months and my autographs have been coming back at a steady stream.
You may send all the letters at the same time but the amount of mail each celebrity recieves will determine when they actually get to your letter. A cast member that only gets a few letters a week will answer quicker than someone who recieves hundreds {thumb2}

Over the past month I have sent about 20 requests to various cast members from Lost. They all go to the same address, which is the set of the show. Do you think that they might notice that they're all getting letters from the same person and not want to send out an autograph?