My Yahoo email address (yeah, I know, and I'm moving away from it - I've had the account since 1995 or 1996, but this latest mail interface redesign is finally getting me motivated to stop using it for anything other than junk mail) often receives legitimate mail intended for other people. My favorite incident so far was when a wife tried to email their password spreadsheet to her husband, but sent it to me instead. I let her know of the error, and she thanked me and said her husband was pretty pissed at her for the mistake. I deleted the message, though: if their accounts were broken into, I wanted to be able to say, "I deleted the message and the attachment."
I usually just ignore the messages and delete them. If it keeps happening I'll often respond and let them know they have the wrong person. I really want to slap the lawyers that have "if you are not the intended recipient of this email, delete it immediately!" at the bottom - I mistakenly received a message with that at the bottom once, so I responded per their directions and included a bill for my fee of $200 for the service. I never heard from them again, and if their little disclaimer was legal than my bill probably was too. I wonder if my point got through...probably not.
I would be careful about saving anything that could open you up to liability - the password spreadsheet above is a perfect example. The odds are excellent you'd never have a problem saving something compromising, but it only takes one idiot, and even if you're innocent, the hassle wouldn't be worth it.