The Consumerist has linked to a pretty thorough article, and the comments are as enlightening as normal.

Here's another good article from Mefi's own jdroth's blog. Though I think he just links to outside sources, but I'll credit him anyway.

I keep credit card statements and pay stubs until my file cabinet gets so stuffed I can't put anything else in it, then I'll sit down and spend an entire weekend shredding everything. Not sure I recommend that.

I shred credit card offers upon receipt (which thankfully I don't get very often anymore, thanks to optoutprescreen.com) and utility and other bills after I have paid them.

Save your ties. Unless they have stains on them.

As for papers, personally, I like to burn things!

Shred it all and let god sort it out.

Shred bunnyfire's hatemail from the other thread.

If it's not an autographed picture of Don Knotts it should be shredded.

i'm really lucky; i have this little kitty who is excellent at helping me shred.
i rip old bills into strips and she messes them up so they are beyond putting together, then she tucks them into the trash. She's also really good at separating like things into piles.
Old bills are almost useless.

If it's not art, literature or cash, shred it.