I have never actually caught or been handed anything at a show before. I have come close on numerous occasions but then something stupid always happens and I blow it. That is actually one of my goals for this summer is catch something at a show.
I have met plenty of band members and gotten shit signed. The only time I have ever been nervous was when I met Mastodon. I was pretty much shitting my pants and that was the only time I have ever met a band and I just felt like a kiss-ass fanboy. I have long since gotten over that and now I never act strange around bands. They are just regular people that are often very friendly and apprecitative of the support.