This tactic includes buying club cards at grocery or discount stores. Most organizations are becoming more aware of individual privacy rights and have options in place where you can refuse mail and phone calls and disallow sharing your address. You just have to ask. Avoid entering contests or drawings where you supply your name and address. Sure, but you'll definitely loose out on scams and junk mail.
Electronic mail is a new frontier for direct marketing.
The trick to dealing with unwanted email is to filter out first what you want, then quickly deal with or delete the junk that is left. The free Pegasus Mail software gives you a way to automatically filter and sort your incoming mail. If you receive electronic mail, use email reading software that can filter your incoming mail into folders. Filter the email from people you want to hear from into folders that you will read. Do this by identifying to your email reading software the addresses of people known to you.