I think there is a sticky topic somewhere which lists like conventions and stuff. I've never been to one myself, but I think the celebrities just sit there and sign stuff for people.
Other than that, not being able to drive is a bit of a barrier. Whenever i've met anyone who i've got something signed from, its always just been a fluke. Although, if you were ever in London or anything, then you could wait at the stage door for them to arrive at a theatre as quite often celebrities have stints in West End shows. The same with sports teams - if you wait outside after a match for a while, then the players should come out.
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