To clarify in my original post, for me it has a lot to do with who the person is and the importance of the book itself to me. For example, if I am at a convention and the author(s) is there when I purchase the book, I will always ask him to sign it. From my point of view, this is a way of showing the author that you really do appreciate the work he's done and that you also respect him.
Another point of obtaining signatures is if you are trying to get everyone's autograph who worked on a single book. I know gamers who are doing this with their PHB. I've got a copy of Dragonlance: Age of Mortals that has Margaret Weis', Jamie Chambers', Chris Coyle's, Larry Elmore's and Jeff Easley's signature in it with most including a personal message. I found out that Cam Banks is coming to Gen Con this year, so I am taking the book to add his signature to the collection, leaving me only a couple of other major contributors that haven't signed it.
Having a book signed is sometimes taking advantage of an opportunity. I recently learned that Scott Bennie is coming to Gen Con this year. Those of you that know Scott also understand that this is a hugely rare thing. Because of this, I am very tempted to bring my copy of Testament along since Scott will be there and will likely be swinging by the booth where I'll be working so we can finally meet face to face.
Adding to the flip side of this whole point (speaking as an author now) is that signing a book does give you a sense of pride in that someone does value your work enough to ask for a signature. Because of this, I make every effort to always include something different with every signature (something I picked up from Sean K Reynolds a few years back) along with personalizing it if the person wishes. After all, it's the least we authors can do as a 'thank you' for buying a book we wrote or had a hand in creating.