For anyone who wants to add their name to a national "Do Not Mail" list, there is one available. It is managed by the Direct Marketers Association (DMA), a national trade organization for Direct Marketers. It is easy to join their Do Not Mail registry. Just go to their web site
http://www.the-dma.org/ and click the "Remove my name from mailing lists.
The DMA will add your name and address to a list that responsible direct mail marketers will use to run their mailing lists against. In the direct mail business, we call it the Pander list and use it on most all of our mailings (we don't use it in cases where the organization, most commonly a non-profit, supplies us a list of past contributors/participants or other such "house" lists).
Of course, this is not a guarantee that you will be removed from all mail lists - it is a voluntary procedure. And anyone who is doing a saturation mailing (where it goes to every Postal address) will not do a suppression, but it should help keep you off some of the lists.