One of the earlier fan magazines, PICTURE-PLAY (later PICTURE PLAY) was published by Street & Smith, and ran from 1915 to the forties. For most of its first year it was published weekly, but thereafter was a monthly. Syracuse University holds many of the issues in their Street & Smith archive, and even has a number of the covers online in absurdly small images. Many early issues and some complete volumes are online for reading and downloading at the Internet Archive. Various covers and pages on Tumblr blogs. And here's yet another trove of covers, again too small, but almost complete. Lots of fans for this fan magazine.