Often, they just want to see the players up close or hadn't planned on getting autographs. They're small, cheap, and most players have one. Even if you are not a collector, you can usually buy team sets for a low price from either a dealer or Internet sites like E-Bay . It is generally a nice, large photo of the player, and most players will sign their names much larger and clearer than on cards. You can get plain pucks fairly cheap, with logo pucks costing a bit more.
Most people prefer to only get one signature per puck.
When they have nothing else for the player to sign, fans often have them sign jerseys and hats that they are wearing. Though a little harder to maneuver in an autograph crowd, a team-signed stick is a common target for autograph seekers. If you don't have any of these items to get signed and don't want to spend a lot of money, I would suggest getting a program to get signed. It is always a good idea to have all of your items organized and ready to be signed when the player arrives. You don't want to be going through a stack of 100 cards while looking for one of the player that is now here signing.