To quote the Isley Brothers:
"It's your thing, do what you want to do
I can't tell you who to sock it to"
I've come away with signatures on DVDs, comic books, my BronyCon 2012 badge, a pocket sketchbook I've used for having commissions done, a Princess Celestia print, two Michelle Creber CDs, and a couple of my journals. (I had particular fun with this last at BronyCon 2012, having glued a Powerpuff Girls Christmas ornament inside the front cover. If I remember correctly, Tara Strong's jaw almost hit the floor when she saw it, and Lauren Faust was very much surprised by it as well.) After the fact, I acquired a couple of signed publicity photos and a card from Amy Keating Rogers
The way I see it, if it makes sense to you, if you don't mind carrying it around, if it'll hold the ink, and if it's not something that'll creep out the person with the pen, it's fair game.