Morningstar.com has a good article by Sue Stevens that talks about financial tasks for the year and when to do them. To summarize:

January

• Start the year with a fresh look at your net worth.
  
• Set up a budget.
  

February

• Get your tax information collected and submitted to your accountant.
  
• If you are planning to contribute to an IRA for 2006 and haven't already done that, do so now.
  
• Get your emergency fund in place.
  

March

• Get your investment plan in place.
  

April

• Get your estate planning in order.
  

May

• Protect your family and your property with insurance.
  

June

• Protect yourself from identity theft.
  

July

• Update your investment cost basis records.
  

August

• Update your beneficiary designations
  

September

• Throw out unnecessary paperwork and get organized.
  

October

• Review how much you've saved for the kids' college expenses and make additional contributions by year-end.
  

November

• Check your progress on investing for retirement.
  
• And, consider year-end tax-loss harvesting in your portfolio.
  

December

• PARTY (Ok, that's not in there, but in case you made it this far, you may need a little chuckle)
  

I usually throw away stuff during preparing my taxes.