I've caught the Celtics in several different cities, but I don't really regard going to those games as pilgrimages.
I did, however, make a special out of my way trip to go to the hotel/restaurant that Larry Bird used to own called Larry Bird's Boston Connection in Terre Haute when I happened to be in Indiana one time. Don't remember the exact year, but it was late 80s. That, I think, qualifies as a pilgrimage ;^)