I just throw them out unopened most of the time. Sometimes I rip them in half. I've had a friend who's checks that he'd written to pay bills taken from the mail box, the person crossed out the name and upped the amounts and the bank still cashed them.
Another friend had his cousin check his mail while on vacation. The cousin's girlfriend took the liberty of sending in the credit card applicaitons of course adding her name as a user - that took him quite a while to get straightened out.
I'm with Traci - there are so many ways for them to get your info I don't worry about it too much. Plus half the ones I get are in my ex-husbands name so who cares
(kidding of course)