There's an excellent iOS app called TurboScan. It's fantastic. Take a picture of your receipts and it'll convert the image to low file size, but high-quality, PDFs. You can then send those PDFs to your Evernote email and have them stored neatly in a notebook.
It's a fantastic solution for portable document scanning. And with the iPhone 4s camera being so improved over its predecessors, it makes great PDFs of receipts.
I doubt they will ever offer a 'host it yourself' plan, but if only they would implement encrypted notes, it would solve this problem. Data blobs that are only decrypted on the client side, with searching possible only on the metadata (note title, tag, etc) and not the encrypted contents.
They do allow this for text--you can select text and encrypt it--but not for documents.
My workflow with Evernote is that every single piece of paper and mail (along with tons of web pages, etc) goes into it. ScanSnap is awesome, an administrative assistant feeding your paper mail through the ScanSnap even more awesome.
It is unfortunate that there isn't a real facility to keep thos most sensitive of documents safe, though. IMO this is the most significant failure of the service.