I used to send a few bucks to every charity that asked too. I've since learned to carefully check to see how much of my donation actually benefits the cause and how much goes to "administrative costs." I'm also leery of charity events like races, mud runs, etc., since in an awful lot of cases, I'd get a lot more "bang for my buck" if I just wrote the cause a check instead of paying an inflated fee for an event.
My favorite way to give now is to do something directly. I work for a bakery and every day I take the day-old items to the local rescue mission. I don't have to wonder if my efforts are making a difference; I'm pretty darn sure they are!
This is a good topic, and I think a lot of people have become a lot smarter about their giving in recent years, thanks to the ease of researching the various causes via the internet.