Generally speaking, you should keep your cancelled for three years depending on your situation as it relates to the period of limitations.  If you have ever fudged a tax return, be prepared to support the return at any time without limitation.

More Info: The IRS has three years in which to audit a return.  During this time, it is important that you keep all supporting documentation for deductions taken.

According to the IRS, you must keep all supporting documentation for all returns until the period of limitations runs out.

The period of limitations for a return is determined by that time during which you are allowed to amend the return, or the IRS can assess additional tax.  The period of limitations for each return is contingent upon several factors.

You owe additional tax: 3 years

File a claim for a credit or refund after filing a return: 3 years or 2 years after the tax was paid, whichever is later.

Fail to report 25% of income shown on return: 6 years

File a loss claim for worthless securities: 7 years

Fail to file a return: no limit

File a fraudulent return: no limit

Property: expires upon disposal of property

You don't need to save every cancelled check you ever wrote.  You can keep organized by only saving those cancelled checks that serve as documentation for something claimed on a tax return.