I used to put a sign outside my mailbox that says "Junk mail not allowed" or "Advertising material not allowed". This was quite effective and I did not receive any advertising material in my mailbox. It was a lot easier than regularly having to clean up the mailbox.
But the downside to this is I was totally unaware of great deals some retailers were offering.
So I decided to remove the sign and keep the advertising materials flooding in again.
If you want to save money and learn about the great deals on offer, allow the advertising material in your mailbox.