I remember I had lost an OK domain back in the early days of the net, sex.com or something... I forgot about it and it was gone like a wind...
On a more serious note - I use (have used) Register.com and they not only notify you by e-mail (US mail is only thru DirectNIC/NEtwork Solutions) but they ALSO re-register it for you if you forget to do it manually. It costs $34.99 for a year though... so better not forget. I was not pleasantly surprised when 50 or so domains got renewed at $35 a pop...
And those snail mail ones uggh - I got a renewal letter for like AnalNastyCumLickingSluts.com sent to my house a long time ago - that was embarassing then. haha