I used to be an avid autograph collector. I jumped around between different genres within the hobby, such as sports, hollywood, vintage television etc. I spent years finding autographs that many consider to be the "essentials" of a sports collection- such as the Big 3 in baseball (Mickey Mantle, DiMaggio, Ted Williams) and the core 4 (since im in NY and a Yankee fan); added some players for investment such as Bryce Harper and Trout when they were first making their MLB debuts and other players both new and old.
After sports, I shifted towards Hollywood, where I wanted to complete autograph "sets" for my favorite movies- The Godfather, The Good the Bad the Ugly, just to name a few.
Between sports and Hollywood, I estimate several thousand dollars spent- easily.
Then I did the same for my favorite classic TV shows (The Honeymooners, All in the Family, The Jeffersons, Sanford & Son etc). I found this experience to be the most fun since you needed to essentially hunt for some of these autographs due to rarity. However, if you looked hard enough, you could get them for super cheap. I managed to get an authentic Jackie Gleason autograph for $32!
Now I find myself occasionally searching for the autographs I need (still) to complete some TV Show sets and checking the forum from time to time, but I am definitely no longer the avid autograph collector I once was.
I also tend to collect "in person" when I can. Going to baseball and soccer games and bringing along a ball, jersey or other piece of equipment to get signed. It is the cheaper alternative in my opinion- a $100 jersey or $30 ball plus decent tickets to the local game. It's interesting because many times I'd see a jersey for sale on eBay and remember seeing that getting signed for the person next to me- listed for $300-400 of course.
I shifted towards another money pit of a hobby that I originally put on the back-burner for autographs -- coins. I enjoy it the same way as the TV show autograph collecting because of the "thrill of the hunt" so to speak. Completing sets seems to be something that keeps me and some other collectors interested.
Anyways, with all this, I can say that autograph collecting will always be a hobby that involves lots of money. However, if you do the right searching and be patient, you can get some great steals with potential for profit. Unfortunately, celebrity death and controversy heavily influence the market, both for profits and losses- but it is something to be mindful of despite death of our favorite celebrities being a sad occurrence. Also, I'd say there is no doubt that autographs you purchase today will increase in value- either marginally or exponentially- in the future; it's just how it is.
Josh, Pete, Rich and Mike - great comments. My experience mirrors certain points that each of you make. From Pete - if you want to own something that's going to hold value, it's going to cost real money. From Josh, in person collecting is a totally different experience (more on this in a moment). From Rich - I can see the point of the book and as general matter, widely circulated investment books for beginners often warn against the more exotic forms of investing. Still, I do believe that attempting to buy investment-grade music memorabilia is actually possible and is a valid approach. Which leads comfortably to Mike's last point, that over time, taking the long view, value appreciation can be expected. There's a great deal more I could say about the investing element of this, but I wanted to circle back to Josh's point. My life is not organized in a way that would allow me to obtain many in person autographs. Indeed, I have one only. But it was such a great experience I thought I'd share. I attend an annual industry conference each fall. Last year the location was San Diego. The conference rented PetCo Park for the final evening, and I mean the entire stadium. The entertainment was LosLobos opening for Jason Mraz. I got a pass to the meet/greet. In advance I purchased two matching small Jason Mraz posters and took them along hoping to get at least one signed. When it was my turn for the photo op, I stood right next to Jason and asked if he would autograph something for my wife. He said "sure man - hang back and I'll get you on the way out". After all photos were done he made eye contact and I came up with my two posters. (by the way, nobody else had thought of this, so I was the only one getting something signed). I told him my wife's name and he signed beautifully for her. I said, "do you have time for one more, for me, before you have to go?" He said "Of course." So i put down the second poster and asked if he could sign "the curbside prophet", which is the title to an early song of his. He looked at me with a big smile and said "Are you the Curbside Prophet, or is that still me?" I said still you of course, and we both started laughing. He signed my poster, shook my hand and said "Thanks for listening for so long." He was the coolest, nicest guy ever. It's an experience I'll never forget and this piece means something different to me than everything else I own.