I save just about everything paper-wise: bank notes, receipts, etc. The problem is that I rarely get around to organizing them. So if I needed a grocery store receipt from June of last year, I'd probably have it, but it's no good to me since I cant find it. I've done too many "quick" clean ups where everything is scooped up into a pile and stacked out of view. A sorting has been long overdue.
I really like my sister's method for keeping receipts. You get 24 files in an accordion folder, one per month for the last 2 years. Collect all your receipts in a drop box for the current month. It helps to be in the habit of dumping your wallet's receipts into the same spot at the end of the day. At the end of the month (say, March 2013), file them away, and rotate to the shredder the file contents of March 2011. So you keep a revolving collection of receipts for the last 2 years.
I was in a pickle because I let all my receipts for the last year jumble up together in a bag. But if I had kept up with it, it should really only take like 2 minutes a month.