Why shredders are a good idea, preferably crosscut. Of course 888-5-OPT-OUT or here is pretty effective too.
Why would burning them be illegal? Unless you ordered it or there's some other contract in place, anything sent to you (even expensive stuff) is legally yours to do with as you see fit. Usually burning paper isn't illegal either?
Copyright ©2000-2008 Jeremy Mooney (jeremy-at-qux-dot-net)
I burn all of mine (and no, not in my apartment... at an undisclosed location). Illegal, but effective. I'm pretty sure no one's putting ashes back together although giving the intelligence of this particular financial institution, they might accept it.