I ran into Big John McCarthy of UFC ref fame once as I was flying through Chicago for work. I gave him the "I know you" head nod and said "have fun in Vegas" (I knew he was flying out to officiate a fight) He was really cool and his wife even grabbed my phone and asked if I wanted a picture.
I was also lucky enough to run into Ricky Henderson at a diner one time and he stopped to sign for me. I guess it just depends on how you approach them. In Ricky's case I waited until he was done eating and explained how my GF at the time was a huge fan. (Poor soul is and A's fan, through and through)