I've started to opt-out of all the mail I receive, both electronic and paper. It's important — not only do these offers waste resources and your time, many open up opportunities for identity theft.
It's a pain to do opt-out one-by-one but happily, there are ways to do it en masse. You can register with organizations (almost always for free) whose members have committed to remove anyone who requests it. They include mail order companies who will stop sending catalogs; credit companies who will stop sending offers; anti-spam lists; and telemarketers.
Even better, all of these services have been gathered in one place. Visit the World Privacy Forum's Top Ten Opt-Outs. Just march down the list and follow the directions.
One of the most important mailings to dodge are the ones that offer you pre-approved credit. If a bad guy were to intercept one of these from your mailbox, he could sign up for a credit card and if he watched for the response, he could run off with the new card and use it for at least a month. Before you even knew the card existed, your credit history would be a mess. The Pre-Screened Offers Opt-Out (number two on the top-ten opt-out site) is an important one to visit.
Once you have signed up, wait a couple of months and begin manually removing yourself from whatever remains.
And when you sign up for new things in the future, be careful to check (or uncheck) the privacy boxes. But be careful: Some of them are tricky.