At least here in Finland it's really hard to get a warranty replacement without the receipt... I keep them as long as I have the component(usually that's not a very long time, though...). At least it's much easier to sell a component with it.
I keep a file to store about all papers on everything I buy, it's also great to have some kind of awareness of how much money I've spent on computers, sportsgear, guns, guitars & other expensive kind of stuff.