Are you getting unsolicited mail that's more trouble than it's worth? Here are some things you can do that will give you more control of what comes into your home. I don't know of anything you can do that will stop the influx immediately, short of moving and not telling anyone (including creditors, employer, insurers, old friends, and especially the Post Office). If you're willing to start slow and spend some time on it, you can slowly cut down the amount of junk mail you get.
Dealing with specific types of organizations
The first thing to realize is that there are several different sources of junk mail, and there are different things you have to do for each of them. There are some broad-band tools you can use to stop a lot of junk mail at once, but these miss some important categories. For the rest, until you figure out why you got a particular piece of mail, you can't take the action that will prevent its recurrence. It's important to realize that some companies maintain their own lists, while other companies buy the lists they mail to. In the first case, you have to talk to the company that is sending the mail, and in the second, you have to talk to whoever they bought your name from.
Some simple actions that may help a lot
One approach attempts to stop all the unsolicited mail at once. The good part of this approach is that it's not much work, the drawback is that you may stop receiving some mail that you wanted, but were only getting as a side-effect of something else. There are several different organizations you can contact, including the Direct Marketing Association, an organization of direct mailers. [see Q1.] and a few companies that charge a fee for individually contacting companies that are sending you mail. [see Q2.]
Among the companies that have their own lists are local merchants who like to send out periodic reminders, and the national firms that send out twice weekly piles of advertising to all postal patrons, The two big companies in this latter business are ADVO ("Mailbox Values") and Harte Hanks ("Potpourri"). [see Q3 for how to deal with these two .] You won't be able to tell which pieces are coming from mailers who have you directly on their lists until you've reduced your junk mail to a level that makes it worthwhile to individually call the sources of the mail you get.
Companies that sell lists
Dealing with re-sold lists is a long process. You have to find out who's selling your name, and ask them to stop. There are two possible approaches to tracking down the companies that are selling your name. You can either ask the companies that are sending you the mail, or you can track the spread of your name and address.
If you're not getting much junk mail, you can easily call the companies that sent you something and ask where they got your name. As long as you're polite, the people in the direct mail department are quite willing to tell you this. Often they will tell you the names of the two or three places from whom they bought lists in the last month, and you can figure out which one knows about you. Other times if you read them the codes on the mailing label, they can tell you exactly who it was.
You can also head off the problem entirely by always telling organizations which you deal with through the mail that you don't want them selling your name. You can do this with a note when you order something or send your dues, or you can send them a separate note or call their national office on the phone.
How to track the spread of your name
If you're getting a fair amount of junk mail, it's probably easier to start by adding markers to the address used by correspondents you want to continue to receive mail from. A simple trick you can use is to modify your name in some way that you keep track of. When you receive something unsolicited in the mail, you check your list and see where they got your address.
I use different middle initials with different organizations, but you could also change how you spell your first or last name, or add an apartment number to your address (or add a superfluous letter to your already-numbered apartment). If you are dealing with a professional organization, you might add a title, or a department name.
Asking to be removed from a list
Once you've identified a particular company and want them to remove you from their list, (either the one they mail to directly, or the one they sell) there are a few common steps to take. Start by calling customer service and tell them you want to stop getting mail. Then follow up by keeping track of mail you get from them, or mail addressed to the name you only use with them.
When you call again in a few weeks or a month (depending on how long they said it would take), you want to be able to tell them what in particular you received, and when, so they can figure out which list they missed the first time. In all cases, be polite, don't refer to "junk mail" unless the clerk wants to know why you care, and be persistent. If the person you are talking to doesn't know what to do, ask to speak to their supervisor, and be willing to patiently explain your predicament again.
Tactics that won't help
I assume that your objective is to receive less mail. You might also be interested in encouraging mailers to send junk mail less often. The following are tactics that won't succeed at either of these goals, but (if you're vindictive) might make you feel better.
Using Business Reply Envelopes to complain will usually not get the attention of the mailing company. If you attach them to a brick or overfill the envelope, the post office will discard them. If you send them back empty, or with a complaint about the catalogue you didn't want, they'll be discarded by the people who open the envelopes. The mail is usually opened by people who only get paid for actual orders they pass on to the company, so they don't often bother to relay complaints or count the number of replies that didn't contain orders.
Your use of the BRE will cost them money, but they'll never notice it, so this won't cause them to change the way they do business. (Unless the number of people sending empty BRE's becomes a substantial fraction of the number sending orders. This might lower the effectiveness enough that they'd stop doing mail order. Not likely.)
If you want the company to pay attention, get in touch with their customer service people. Most of the time, the company never even saw your name, so they can't do much to keep you from getting future ads. They buy lists from other companies, and those other companies are the ones you need to get in touch with. They might be interested if you were offended by their ad, but otherwise they'll just point out that many people order merchandise from them in response to the mailing. If you want to stop getting the mail, find out who they buy names from, and get those people to stop selling your name.
Q1. How do I contact the big companies that sell lists?
A1. The best place to start is the Direct Marketing Association. Their member organizations are some of the direct mailers who send the stuff. They apparently don't accept phone calls any more. Their mailing address is

Direct Marketing Association
PO Box 9008
Farmingdale NY 11735

They also have a telemarketing suppression file, which you should also request explicitly.

Direct Marketing Association
Telemarketing Suppression File
PO Box 9014
Farmingdale NY 11735-9014

Other big list resellers include:

R. L. Polk & Company Donnelley Marketing Inc.
List Compilation and Development Data Base operations
6400 Monroe Boulevard 1235 N Avenue
Taylor, MI 48180-1814 Nevada, IA 50201-1419;

Metromail Corp. Database America
List Maintenance Compilation Department
901 W. Bond 100 Paragon Drive
Lincoln, NE 68521; Montvale, NJ 07645-0419

Dunn & Bradstreet Consumer Preferred
Customer Service (National Merchandising Corp of Green Bay)
899 Eaton Avenue 922 Oak St
Bethlehem, PA 18025 De Pere, Wi 54115

Q2. Who else can help me stop getting junk mail?

Stop Junk Mail Association
3020 Bridgeway #150
Sausalito, CA 94965

Another firm that acts to stop junk mail for its subscribers is Private Citizen, Inc. The fee is $10. PCI also handles telenuisance calls for an added $20. Folks can get membership materials by calling 1-800-CUT-JUNK.
Q3. How do I stop the loose unaddressed flyers I get twice a week?
A3. There are two different companies: ADVO ("Mailbox Values") and Harte Hanks ("Potpourri") that send these out in different areas around the US. The advertising is sent as a "supplement" to an address card which has the postage-paid notice on it.
These bundles are sent to every address in the affected areas, and it takes two separate actions to stop it. First you have to get ADVO or Hart Hanks to stop printing the address card, and only then can you get your mail carrier to stop delivering the advertising.
Both ADVO and Harte Hanks have local offices scattered around the country, and the best way to get off their list is to talk to the local office. The cards usually have the local phone number on them, or at least an address (call directory assistance.) Ask for the circulation department, and call back in a week to check that they really did remove your address. Be prepared to wait 8 weeks for the mail to stop. They'll occasionally "accidentally" send out another card, but it's easier to stop them the second time.
Your postal carrier "knows" that everyone on the route is supposed to get one, so she'll keep delivering them even if it looks like the address card is lost. It's against the law for them to deliver unaddressed mail, so it only takes a phone call to the supervisor at the local post office to convince the carrier to stop. There will occasionally be a mistake after that (when there's a substitute or new carrier) but it doesn't take very many calls to convince the supervisor you really mean it.
There's no need to threaten lawsuits or anything, just tell them you received unaddressed mail. With ADVO and Potpourri, you may have to point out that you found out how to get off the lists before they understand, but the postal supervisors do know what the law says.
In many rural areas, ADVO uses "rural route" addressing, which means that they don't put individual addresses on the cover cards. (When I talked to them, they claimed they were in the process of converting all their areas to individual addresses, but it may take a while.) If your card comes addressed just to "rural route #1", you can still get the post office to stop delivering to you, but it's more work. Instead of getting ADVO to stop generating an address card for you, you have to get them to tell the post office that they no longer want you to get one of their packets. Once you've gotten ADVO to tell the post office, you can start bugging the carrier to stop delivering your copy. It's more work than when they use individual addresses, but several people have told me that this process works.
Dealing with specific types of organizations
Here's a list of some of the kinds of organizations that direct marketers buy names from and what you can do about each.
Mail-Order Catalogues
Use a distinct address with each catalogue you order from. Your name will occasionally be sold to someone you don't want to hear from, and you have to know where they got your name to make it stop. When you find that a catalogue resells your name to places you don't like, ask them to add your name to their suppression list. Most don't have any trouble with this request.
One thing to be careful about: many will "correct" your name and address from your checks, so you have to continually make sure that they're using the name/address you chose for them. I have my checks printed without name or address so I can choose what each organization sees. You're always supposed to write down the account number anyway.
Memberships In Organizations
(charitable, political, religious, professional, etc.)
Just like mail-order catalogues; use a distinct address for each. Many will sell your name without warning.
Phone Book Listing
Many organizations build their address lists from telephone directories. In addition, these lists can be cross-matched with others and occasionally they'll make inferences based on your listing. (sex from first name, ethnicity from last name, profession from title, etc.) You can get an unlisted number, but there are directories that include those listings, they just cost more. A cheaper way to have an unlisted number is to pick a fake name for the directory. Any phone calls or mail for that name you can be sure are junk.
Warranties/Product Registration Cards
You are seldom required to send in registration cards in order to be covered by a warranty. Most of these cards are send to the National Demographics and Lifestyles Company which compiles direct mail lists of people based on the life-style, family income, and buying habits that people describe on the cards. Write to them at:

National Demographics and Lifestyles Company
List Order Department
1621 18th St.
Suite 300
Denver, CO 80202

800/900 Number Services
800 and 900 number services can easily find out your name and address when you call (they use reverse directories indexed by your phone number.) Many of them compile and sell lists of people who are interested in their product or watch their TV show. Make your 800-number phone calls during a break at work. Don't call 900-number services unless you don't mind your name appearing on lists of people who use the particular service.
Contests (You May Already Be A Winner!)
There Ain't No Such Thing As A Free Lunch! There are some real contests that give out real money, but not many, and the odds are never very good. Many things advertised as contests these days are just fishing expeditions for names to add to mailing lists. Others are serious fraud. Never give out credit card numbers over the phone unless you're positive the company you're calling is reputable.
Credit Cards
Some credit card companies sell lists of customers to direct mailers. They know a lot about your lifestyle: what you buy, where you travel, and how much you spend. Banks don't seem to use the same information from your checks, so if you're looking for a little more privacy
Birth Certificates, Marriage Licenses, Property Records
You can't do much about these except use a variant spelling and track down each use of the name. Most of the list compilers are willing to drop your name if you ask.
Credit Bureaus
Two of the major credit bureaus still sell lists based on their databases. You can contact them at:

Target Marketing Services Division
Mail Preference Service
901 N. International Parkway
Suite 191
Richardson TX 75081

Trans Union
555 W. Adams St.
8th Floor
Chicago, IL 60661

Change of Address notices
The post office sells the names and addresses from its Change of Address cards. They even encourage bulk mailers to use the data so there will be fewer miss-addressed letters. If you're having trouble dealing with the junk and want to stop getting it, contact all your correspondents individually and don't fill out the Post office's form.