The Armchair Millionaire gives some tips on organization.

Retirement Accounts

This is where you'll keep all of your retirement-account statements. Create a file for each retirement account that you hold, especially the quarterly statements. You don't need to keep the prospectuses that the mutual-fund companies mail you each quarter.
However, if you have a company retirement account, you should definitely keep the sign-up package indefinitely because it tells you what investment options you have -- something you should review annually.

Social Security

Put your most recent Social Security Benefits Statement in this folder. If you haven't received one by mail, request it online at www.ssa.gov [http://www.ssa.gov/]. You should receive an updated statement every year so be sure to file the most current document.