Well, both Borg and McEnroe autographs I got through the mail.
The ones I have got in person are mostly from Indian Wells and Los Angeles tournaments. It is all about being in the right place at the right time. I normally go for the early rounds when there are not that many people.
About Serena, I have never tried getting her but I can imagine it is pretty tough. I have tried getting Sharapova's autograph and she is next to impossible.