I keep all my software boxes. They're in a cardboard box in the cabinet in my room.
What I like, is ...it's hard to describe, but if you have SimCity 4, it's that type of box. The plastic one where you can actually put your CDs in it. No paper wrapper.
Also, ones with big manuals, I don't mind. Such as CivCity: Rome or Railroads. that came in a big box, but the manuals was pretty thick.