I've got a flexible plastic folder (like a report folder, from staples) that has the posts to hold three hole punched paper. I've got 4 x 6 photo page protectors (3 pockets to a page), and each category goes in one pocket. The first page is the three major stores I go to: CVS, Giant and Pathmark. When I'm planning a grocery trip, I'll pull out the coupons I know I'm goign to use and put them in the particular store's pocket.
The next page has Dairy, Bread, and Drinks. Next is Grains (this is pasta, rice, etc) Cereal, Snacks. Then Meat, Frozen, Canned. Then Baby, Cleaning/Laundry, and Hair Care. Next page is Body care, health and something else I can't remember! Last page is take-out, treats (like ice cream parlor, etc) and activity (like a bouncy place, etc) Then the last page has a "random" pocket where all the coupons I can't file but know I'll use go. When the circulars come each week, I slide them into the front pocket inside the folder so they're ready when I need to look at them.