Famous athletes and celebrities aren't naive. They know their autographs are worth money. Often they will sign for free depending on the circumstances, but even those that sign for free also sometimes appear at conventions to sign for a fee.
Typically athletes appear at sport card or sports memorabilia shows; other celebrities usually appear at comic book or pop culture conventions. Incidentally, the largest pop culture convention in the world, San Diego Comic-Con, has a lot more free signings than paid signings, but getting into them is much harder than it used to be.
Sports memorabilia shows are usually very good about announcing in advance who is appearing and when, and what exactly they are charging to sign, often with scaled pricing depending on the type of item. For example, a football player who charges $30 to sign a card, small photo or magazine might be charging $50 to sign mini helmets, and maybe $80 for jerseys. An additional fee usually applies if you want an inscription (such as Hall of Fame 1988). Personalization is frequently available at no extra charge. With photo ops, in the old days they didn't charge extra, but due to social media, now they often charge an extra fee. However, typically you are allowed to take a free picture OF the player signing, just not WITH the player.
Comic book and pop culture conventions can unfortunately be less forthcoming with information about autograph guests. They'll tell you who is signing and when, but occasionally the fee is TBA (to be announced) and you have to actually show up to find out. If you think that's stupid, so do I, but some celebrities can be fickle about what they want to charge depending on what item you have. I recall having to search on the internet to research what a particular celebrity has been charging at recent appearances. And there are a few guests who insist on personalization even if you're paying them to sign.
Now, the big question is, are these fees worth it? Apparently lots of people think so, because the lines are often long, and the fees always seem to increase, not decrease. However, the answer depends on two things: what item do you want signed, and is it for your personal collection or eventual resale?
If your item is fairly common for the signer -- an 8x10 or 11x14 or 16x20 photo, a baseball or mini helmet for instance -- at least 9 times out of 10, you can buy the item ALREADY SIGNED for less than the autograph fee alone, not even counting the cost of the item -- and often with some sort of authentication. So shop around. But if you have a special or unique item you're working on, then obviously you may have little choice except to pay the fee to get it signed.
Keep in mind these fees have a built-in premium because you're paying to personally meet the signer, even if just for a few seconds. Also, at least in theory, you're able to choose the exact pen and exactly where you want it signed.
Also consider what your intent is with the item. If it's for your personal collection, you may not think twice about overpaying slightly to make sure the item looks exactly like you want. But if it's for eventual resale, it's not going to be easy to recoup all the autograph fees, not to mention your time and incidental expenses attending the show.