Doesn't work when you have persistent companies who won't take the hint and stop mailing you even after being on that list and even after calling them and even after replying to the twelfth or so missive saying you're not interested.
I had to take this tack with Good Sam (an RV "services" company, insurance and maintenance and such) who wouldn't get lost. Once after about 3 or 4 instances of being told to GTFO, they sent me this large manilla-envelope thing with a similarly sized reply envelope.
I shredded everything but the reply envelope into confetti, emptied my shredder (few days worth of stuff) into the envelope, threw a few pennies in there to increase the weight, and wrote on a sheet of paper "TAKE ME OFF YOUR LIST".
Haven't received anything since then. Perhaps coincidental, perhaps not, but so very satisfying.