Burning is really bad, as it release all the toxins into the air.
Honestly, recycling is really a big issue for pollution, too. But, it is better than burning. You can read more about recycling on Fake Plastic Fish's Blog,
here. The majority of our recycling (and other countries) goes to China, where there is no safety standards. Those large ships come in with made in China crap, and then go back with our recycling.

The best thing is to Reduce the packaging and items you buy, and then Reuse the stuff you do buy.