Most shows will for a donation to BCEFA (the amount depends on the show, $20-50 usually) so you'd need to send proof of donation and a self addressed stamped envelope for them to return the playbill to you.
Not that I do this, but I believe you send a request and a SASE large enough to hold a Playbill. You don't actually have to send them your Playbill... Significant is selling signed Playbills for $20, if I recall correctly.