The association of Dutch banks and most insurance companies have created a document (Gedragscode Verwerking Persoongegevens Financiële Instellingen, in which they describe what kind if info is kept on you, how it's used, and how you can restrict commercial use of it.
If you manage to get through the ton of legalese it's hidden in, it turns out to be very simple to make your bank/insurance company stop selling your personal info to "direct marketing" firms. All you have to do is send them a (dead-tree) letter specifying that you want them to stop, as specified in paragraph 7.2.2 of the document.
Then all you need to do is find the relevant clauses in the privacy statements of other companies you do business with (phone companies are notable for selling phone numbers and addresses), send some more mail, put a "NEE/NEE"-sticker on your mailbox and start enjoying an empty mailbox.
UPDATE: The "College Bescherming Persoonsgegevens" has a website with template letters.
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