Often, I have seen celebrities in public; places like Tower Records, restaurants or just walking in the street. I won't ask for an in-person autograph, because I feel as if I'm intruding in the celebrity's personal space and time. However, events designated for signings are fair game, as is the mail.
My feeling is a celebrity can choose to grant or dismiss mail requests at their own time and on their own terms, so I am not excessively intruding upon them.
I feel that there is another advantage to mail collecting. Through the mail, I am a person with a name, thoughts and opinions. Assuming the celebrity reads his mail, my comments may impact his thoughts and feelings. I may get a considered response. Conversely, with an in-person encounter, the seeker is typically just another faceless person with a Sharpie and an 8x10.