The Houdini's Metamorphosis Stationary. Handwritten and signed by Houdini June 10, 1897. Content includes Houdini and Bessie performing at Fairview Amusement Park in Dayton, Ohio on June 14, 1897. Reverse contains a full page of vignettes of The Houdini's Metamorphosis! Only other known example is in the Library of Congress, but trimmed and without handwriting of Houdini. This may be the only known example with handwritten correspondence directly from Houdini. $4,750-5,000.
As high as this price is, it's actually not the highest I can recall for a Houdini-related letter. In 2011, a letter from Harry Kellar to Houdini congratulating him on his vanishing elephant sold for $32,500.
An original screenplay for Houdini (1953) sold for a surprisingly high $4,504. Another early (1900) handwritten Houdini letter fetched $3,685.