I do. It comes in handy when you find something on sale or clearance a few weeks after you pay full price. I also try to save all the receipts from purchases of Star Wars collectibles. Someday, my goal is to get everything catalogued (I started once, then the program crashed on me; I think I overloaded it) with price paid, current value, etc. Unfortunately, many stores use thermal paper now, and the receipts end up fading until you're left with a stack of blank pieces of paper. Paper that isn't even useful to write notes on, because pens don't tend to like thermal paper. Now there is a way!
Check out ChicShopperChick for a review of Neat Receipts, a scanner and software specifically designed to make sense of all your receipts. You can also register for a chance to win one (wish me luck!).