This has a multi-part answer so please allow me to do a bit of a monologue...
I think the strictly speaking answer to this question would be Alan Alda, who personally autographed his second book, "Things I Overheard While Talking To Myself" to me at a signing in Toronto. However... now in my collection is a copy of the book "On Set" which is a book of photos taken by Arlene Alda, on the set of Alan Alda's film "The Four Seasons." My father and I saw it in the bargain books pile (!) at a WaldenBooks. Only after I picked it up did I see that it was autographed by BOTH Alan and Arlene Alda! But that wasn't in person or via fan mail so it doesn't really count.
And then there's the autographed copy of "Confessions of a Dangerous Mind" by Chuck Barris. I called down to the bookstore in Jersey for that so I would also disqualify that one based on the OP's question. His is the only Game Show host I have.
I don't think any of the autographs I got at the "Chiller Theatre" event in New Jersey last year count, unless you're willing to give me Weird Al Yankovic for Rock N Roll Jeopardy and maybe Kent McCord for his appearances on Hollywood Squares. (OT but probably of interest to this group: this month's "Chiller Theatre" event will feature a WKRP Reunion, with Loni Anderson, Howard Hesseman, Tim Reid AND Jan Smithers.)
Here's the strangest one: I wandered into a bookstore one day in 1996 in Tallahassee, Florida, and came upon a local author named Don Parker. Parker was a local law enforcement official who told of his many misadventures in two books, "You're Under Arrest-I'm Not Kidding" and "Officer Needs Assistance... Again." Parker seemed to be a great storyteller so I purchased both of his books, which he signed. Those of you here who have forgotten more about game shows than I'll ever know probably already know the GS connection, but I didn't. Not until several years later, when I was flying cross- country and passing the time watching Game Show Network. (Yes, that long ago, pre "GSN".) And who should appear on a rerun of To Tell The Truth... but the very same Don Parker, along with two imposters.
Should I count Jean Shepherd given his appearance on I've Got A Secret? (He played his head.) If he counts, that's my first one. I had just gotten my driver's license, he was appearing at the Clinton Book Store in Jersey, and I was NOT going to miss my chance to meet him. He remains my all-time favorite author.