The Direct Marketing Association

The Direct Marketing Association is a national trade association serving the direct marketing field. Members of The DMA market goods and services directly to consumers using such media as direct mail and catalogs, telephone, magazine and newspaper ads, and broadcast advertising. The DMA provides simple instructions on their website to be added to lists of individuals that their members agree NOT to market to. They have lists for snail mail, telephone calls, and e-mails.

Here's the catch:
If you already do business with a member company, they can still send you mail.
If your name or address doesn't match exactly, they may still send you mail.
A lot of companies are not members of The DMA or don't reference this list.
There's a $5 charge to register online, but it's free to do it via snail mail.

Despite it not being perfect, I do recommend taking this action. I do it every time I change addresses and it does reduce some junk mail.

http://www.dmaconsumers.org/