I already told you about the shoe boxes. I have one for each child:
We also go this paint your own pottery place with our kids and put their hands and feet on plate that I have hung in my breakfast nook:
Of course we take TONS of pictures. I make 2 baby books for each of my kids- 1 for me and 1 stays with them when they leave. We also have pictures on our "Family Wall"
We also got little unconventional with our keepsakes, and memorialized our kids with tattoos. Mine is a large grapevine across my back that has 3 bunches of grapes on it for the 3 kids we have. There's room for 6 more. After that, I guess we'll have to start wrapping the vine down my leg ;) Brandon is collecting superman logos for each child with their initial and birthday designed into it.
Keepsakes aren't just for us though. We also send keepsakes home with our kids when they leave. All of our children have a Build-A-Bear with our voices singing to them and saying "I love you" with their name.