Never give out your email address
Switch to Online Magazines
Go paperless with your banking / mobile bills / Electric etc.
DMAChoice.org (costs $2)
Catalogchoice.org (free) but you can only unsubscribe one at a time
To unsubscribe from catalogs you shopped from you need to do go to their websites
Credit Card Pre-approval mail / Insurance offers use OptOutPrescreen.com (Yes you will have to give them your social security # but they are recommended by Federal Trade Commission)
The above tools will not remove everything from your mailbox but it will feel much lighter for sure. In order to remove the remaining try contacting them individually or try out PaperKarma