Thankfully, there are ways to stop any unwanted mail from coming to your mailbox. There are various sites where you can enter your mailing information and they will block your address from certain mailing lists.
(Courtesy of flickr.)
Another way to save the forests is to change many of your paper-based payments (electricity bill, phone bill, etc.) to the electronic method. Most, and nearly all, companies now give their customers the option to pay their bills over the internet. So this is another way to reduce the amount of paper mail you are getting.
Lastly, another suggestion to save paper is to change your newspaper and magazine subscriptions to the online versions only. I have to say that I'm guilty of not doing this. There is just something so satisfying about flipping through a new magazine. But I hope to accomplish this paper and tree saving goal one day. :)