I got Frank Oz's autograph a while ago. Also Robin Williams. And a hand-written letter from Carroll Spinney. For some reason, the autographs (although, this DOES NOT APPLY to Carroll Spinney. He hand-wrote it!) unless you meet the puppeteer in person (or actor) it doesn't seem as special. Oh, well.
When you write for autographs, address it (whether by snail mail or e-mail) to the Puppeteer. If you're desperate, write the Muppet.
I also recieved photos (not autographed) of Johnny and Sal, one of Bobo, one of Benjamina Gunn, and a group photo from Muppets Tonight. That was pretty cool.