I recently attended the MLB All Star Fan Festival, which is a pretty spectacular event for any baseball fan. One of the coolest elements of this festival is that there are autograph stages set up around the exhibit halls. The price of admission to the event allows you to obtain autographs from many current and former players - many of the latter who are Hall of Fame inductees (who often charge $25-100 at baseball card shows).
Harmon Killebrew was the first autograph I received, knocking another name off my list. He was nice enough to personalize it and include his induction year. Another benefit of this particular event is that an MLB authenticator was on hand to add a holographic sticker to the autograph, proving that the signature is real.
Update: Mr. Killebrew passed away on May 17, 2011.