I keep mine forever. It's not like they take up a bunch of space, like I'm never all, "Oooh, I really need that extra two inches in my file cabinet."
Why do I keep them forever? Because they are a clear and concise record of my financial history and even my life. Because I never know when I might need some account number or address or whatever from them.
The federal government only requires you keep them for three years from the date you filed or two years from the date you paid the tax, whichever is later. That is unless you claim a loss for worthless securities or bad debt reduction, in which case you must keep records for seven years.
Those are all minimums, though. Nothing says you can't keep records longer. I'd say most err on the side of caution and keep at least seven years.
But for me, I have no pressing need to throw those records away. A tax return is one to two inches thick. So I find it absurd how people are all about when they can throw them away when they've already got to keep a drawer or box with several years of returns in it.
I mean, seriously, people keep so much crap, years and years and years of crap, papers especially. But then everyone's all johnny-on-the-spot when it comes to throwing away a tax return that's only slightly larger than a sheet of paper and an inch or so thick.