Oooh, you're gonna have fun. Fall is my favorite time in the Greater Yellowstone area. Bring waders, felts are still okay. If you own a 5-weight it should suffice for both streamers and anything else, plus bring a backup. As Scott said BWO's, but the upper Henry's Fork will have some good hatches of Mahogany Duns going so come prepared. Also don't dis the nymphing possibilities as they will probably be your bread and butter. If you get over to the Madison be prepared for some of the best dry-fly action you'll ever see. Best info in my book is Craig Matthews' Blue Ribbon Flies in West Yellowstone, they will give you very straightforward and valuable info on wherever you plan on going. http://www.blueribbonflies.com/

Good luck and have a great time.

Kelly.