When I go out of town and put hold on my mail, they never work. The postal worker just delivers until the box is full and then returns the letters. Of course, the box is full because of junk mail (which you can't opt out of). I'd consider a post office box, but it is inconvenient, plus I'd have to change my address with everyone who sends me legitimate mail - you know, the things that you still can't handle electronically like W2s, etc.
I've heard that there are services which can have your mail forwarded to, who scan it and send it to you electronically, but I'd be concerned about identity theft.
It's just a broken system and there's no way to opt out.