Here's what you will need:
Large (8.5 / 11) Envelopes
Item You would like to have signed
Step 1: Find Address you'd like to send to
I like to use Fanmail.Biz, they have a very large database, and a forum for posting successes and/or failures.
Look up your celebrity, and see if people have had successes from them before, and from what address.
For this example, I chose actor Aaron Eckhart, of 'The Dark Knight' fame.
If your interested, I used this address:
c/o Hirsch Wallerstein Hayum Matlof Fishman Llp
10100 Santa Monica Boulevard
Los Angeles, CA 90067