Tax Returns
Keep indefinitely!  They can be scanned and kept as electronic files on a CD.  As long as the tax return does not involve fraud, tax evasion or substantial understatement of income, the IRS only has a three-year timeframe (from the filing date) in which to request proof of the numbers on the return.

Cancelled checks, Invoices, Statements and Receipts
Keep them for four years if they document deductions on a tax return.  If they do not substantiate a tax return (personal, non-deductible expenses) discard after a year or two.

Receipts for Property Improvements
Keep as long as you own the property and for five to seven years after the property is sold, whether it is your primary residence, a rental or an investment.  Improvements affect the basis (cost) and may be critical in calculating gain on the sale.  Laws regarding  taxable gain could change in the future.

Escrow Statements
Keep for four years after you sell the property, whether it is your primary residence or investment property.  This includes all escrow statements from refinancing.

Brokerage Statements and Buy/Sell Confirmations
Keep documents reporting purchases of stocks and mutual funds in order to document basis and calculate gain or loss when the issue is sold.  Keep documents reporting and relating to sales for four years.  Brokerage statements should be kept if dividend reinvestments are reported on them, as they can be used to calculate basis.