My own mail hobby started when I was in my young teens in the early 90's. I guess this was a golden age for zines. Two zines I subscribed to and loved were Thrift Score, a thrift store themed zine, and a Crispin Glover fan zine. The main source where I found addresses and reviews was a magazine called Factsheet Five. It was basically a big catalog of stuff you could mail for. The other source was a SubGenius book called High Weirdness By Mail. Upon doing a little research I found a webpage with updated links to most of the publishers featured in High Weirdness By Mail.
Being the horny teenager that I was also mailed away for anything with naked ladies or that had to do with sex. In the back of photography magazines there was addresses that for a few bucks would send you glossy photographs of nude models. I ordered catalogs of pornographic videos and magazines. I even subscribed to some catalogs of mail order brides.
So yeah, the early 90's was definitely a golden age for the mail. Mail order and zines are still very much alive though! I receive many interesting zines in the mail to this day. Recently I have received a wonderful new style of zine, a pocket zine with several pages that is comprised of one piece of paper folded several times with a cut down the middle. You open it up and read through the pages the when you are done you unfold it and there is art and more text inside. I also was just notified that my own paper zine is about to be reviewed in the newest issue of Xerography Debt. Xerography Debt is a current zine review magazine filled with addresses you can send requests to. I am hoping to get lots of trades!
I strongly suggest that you take few moments out of your day and send out a nice letter with dollar or two to some interesting people. It is totally fun to receive interesting alternative media in your mail box.