My immediate thought was to make them into envelopes, there are lots of tutorials on the web like this one: http://howaboutorange.blogspot.com/2007/04/make-envelopes-out-of-patterned-paper.html

I have some craft punches that I use to punch out interesting shapes from catalogues. I then use these on cards or they go through my sticker making machine to be turned into stickers. You can also use interesting pages to make envelopes.

Some ideas:
Paper beads made from the pictures
Alphabet book for kids - cut out
appropriate pictures, glue to a page, make a book
Make a kids’ puzzle - glue page to cardboard (cereal box) cut out into shapes
Sorting cards for kids - cut and paste to cardboard pictures of items that belong in a kitchen, bedroom, etc; have kids sort them into piles (increases vocabulary, thinking processes)
With several catalogs and the sorting card idea make your own Concentration game
Decoupage on boxes for storage, on ugly clip boards
Use as a disposable craft glue surface or cutting surface
Cut out 1 inch squares of colors from the pictures - when have a big pile rearrange them into a mosaic picture (a friend did this with a bra catalog and made a beautiful flower garden picture)

You could maybe try making yarn of them the same way you could use a newspaper http://greenupgrader.com/2138/handspun-recycled-newspaper-yarn/

I love these junk mail trees on the Craftzine blog - they might work!

If you do a google search for “junk mail” and “paper craft” there are loads of nice ornament-y type things that you can use junk mail for, and because you cut it all up you get a collage effect, not price tags… some are daggy, some aren’t!

Here’s a few ideas:
Stars
Stripey cards
Envelopes
Quilled/rolled paper art

you could make weaved boxes and baskets out of strips of paper.

the correct word is “woven” …

IKEA is good in eco-ideas: wait next year and give them back the catalogue. They will gift you with an object made from recycled catalogues of the previous year. Usually they make notebooks big or small.
I am an IKEA addicted, that’s why I know it. Ooops, I have to go to give back the old one in these days!

How bout making stars? You know those cool paper stars that you can hang around the room or put a low watt bulb into and light up? I have a pattern on my site - totally free.

Quilters can use the uniform pages as a base for paper peicing. I recall that my mother made a crazy quilt of rectangular blocks from magazines.

I would love to get the IKEA catalog! Maybe you could pass it on to someone who doesn’t get it?

kids collage material
give it to a local school or kids club for kids collage material
scrunch up for package insulation while its posted
wrap round glass etc. while storing to stop scratches

Shred and use as chook nesting material. eventually i becomes a wonderful compost.

Yes, I agree with giving it to local schools. They are especially always doing projects that require different pictures cut out (junior schools especially) and I’m sure they would find it useful.