I haven't, but my mum did, and she got a really nice letter back and an invite to a convention, which she went on and met loads of other people with similar tastes..... this was about twenty years ago and she still goes on the conventions and is still friends with people from them, even though the person who she wrote the intitial letter to died about ten years ago.
I think it is a lovely thing to do, I'm sure that even though we all assume they must know how good they are, they still probably appreciate someone telling them that they have made us happy.
Would you like to receive a letter saying how fab you were? I would and so would they, I imagine.
btw: Totally agree, John Cleese is great