Usually I am polite about it and let people know, but sometimes I make a game of it. I was invited to participate in a drum circle with an offer to pay for my flight to which I replied that I would love to join, but they would also have to pay for drum lessons. I got a mother insisting that I come home for the weekend to which I replied that I am home, perhaps she hadn't knocked hard enough.. etc.
At one point I got like 15 emails deriding me and my choice to "not support firefighters". Turns out that a member of a city council had listed his email as councilman.<me>@gmail.com and most people just ignored everything before that period. I took it as a challenge to see what the most outlandish thing I could say was that would be believed. Some of the better attempts: "My wife had an affair with a firefighter once!" and "My house has never burned down, why do we even need these guys?".. etc.
With most of the financial emails you can unsubscribe at least. =/