A story appeared in the New York Times about a guy named Jack Smalling, who for years and years has been collecting addresses of every living major league baseball player, umpire, manager and coach. He publishes them in a book called "The Baseball Autograph Collector's Handbook."
Smalling has been collecting autographs since the early 60s, and he compiled addresses to help fellow collectors (gotta love that). And he has more than 100,000 signatures in his personal collection.
And yes, in this day of paparazzi hounding athletes, and sports writers peppering them with questions about steroids or scandals (and of course, the pesky internet privacy issues), players are less likely to sign in the mail than they may have been in years past.
He admits that the big names in the big leagues, probably won't reply, as they get tons of fan mail (and they also see their autographs sell on ebay, from people sending letters claiming to be "fans").
Smalling says it's tricky with foreign players having homes in Puerto Rico, the Virgin Islands, Japan, or even players that just have multiple homes across the U.S. (now that's a problem I'd love to have).
On a positive note...if you send autograph requests to the players, at least your helping the struggling U.S. postal system.