My biggest issue since opting out of most things is that the postal carrier will still deliver the grocery coupons, coupon packages addressed to a different address. I've complained so many times, USPS just stuffs them in and doesn't care.
One thing you cannot opt out of is Every Door Delivery Mail from USPS. USPS allows advertisers, typically local folks, to buy delivery to an entire route and not be required to individually address the mail items.