Back in 2009 I went to a book signing George R.R. Martin was doing in Belfast. Ostensibly it was to promote his Jack Vance tribute anthology but he was also visiting the set of the (original never-aired) pilot for A Game of Thrones. He brought a few of the actors from the pilot along to the signing, at the time nobody really knew who most of them were but they were happy to be asked to sign some copies of A Game of Thrones. In retrospect I wish I'd had some nice hardback edition but I'm still quite happy with my paperback signed by GRRM, Richard Madden, Kit Harrington, Sophie Turner, Maisie Williams, Alfie Allen and Ron Donnachie.
I do have quite a few other signed books from various conventions and events in bookshops. One of my favourites is Susanna Clarke's Jonathan Strange and Mr Norrell which I got signed at an event for various SF/Fantasy authors in a Cambridge bookshop, it felt quite fortunate because she got added to the line-up at the last minute.