I usually don't. In fact, I rarely even read my voice mail. I have so many messages of unimportant/trivial stuff that I consider it a big waste of time. If you really have something important to tell me, you might get better luck calling me at work where I'm actually required to answer the phone. Or better yet, send me an IM when I'm online.
Email, please don't bother. I get so much spam that it would take me like an hour to sort it out.. so I don't.
Regular mail I pick it up once a week. I look for the most important bills, energy, water, car insurance and internet. All other mail goes into a drawer where it will stay until I get free time to sort it out (AKA 2 or 3 months).
How about you?