So far, I've been hole-punching my bills, financial statements, and so forth and putting them into large three-ring binders, one per tax year. This is increasingly a pain and I'm considering buying a scanner and going paperless. I generally keep receipts that matter for reimbursements (e.g., travel expenses), and the rest go into a shoebox "just in case". Heaven help me if I ever actually need something out of that box...
I pay $5/month so my bank will let me download my credit card and checking account data directly into Quicken. It's highway robbery, but it's still worth it to avoid the annoyance of data entry.
Maybe the right answer is to get a flatbed scanner with a sheet feeder, such that it can digest small receipts and larger sheets of paper. Still, I'd prefer the smaller form factor of sheet-feeder-only scanners. Can those deal with flimsy restaurant receipts?