If you order from catalogs, call their toll-free number and request that you receive only as many issues as you want. When requesting a catalog or ordering for the first time, specify not to sell, rent, or trade your name to any other company. If you only contribute once per year to a charitable organization, ask them to only send you a request once per year. When filling out any forms requiring your name and address, confirm they won't sell your name to mailing lists. Call the company directly who sent the mail for instructions for removing names from their mailing lists.
Different companies have different procedures.
Some request a phone call, while others will take mail or fax only. Include a note with the removal request. Don't fill out the warranty cards from new products. You are covered by the manufacturer's warranty whether you send in the card or not. Most of the time these cards are used simply to get your name on mailing lists.