What does my address have to do with this shirt I’m buying?
Have you noticed that different stores ask for your address, phone number, email address, and/or zip code when you are checking out? Don't give it to that store unless you want mail from them to start showing up. A simple "no thank you" in response is all that salesperson needs to hear (don't lecture that poor person - it's not their fault that their employer would have sent you unwanted mail).
On a similar note, if you do provide your information because you'd like to start receiving information from that store, that salesperson may not be able to ensure that your information won't be provided to anyone outside of that company. Make a point to call the phone number that accompanies the mailer to state that you want your information held private.
This is something you should also do anytime you order a new magazine, credit card, or anything else that may have a reason for direct marketing. (Thanks to reader Jeri for pointing this out!)