I just don't have the room, so smaller more "insignifcant" sets' boxes get thrown in the rubbish (Or, if I REALLY LIKE the box art, I'll cut out the pictures and file them away with all my instructions).
If it's a BIG set, like the 3940 or the Knight's Empire Castle, I keep the box, but I do break the factory glue points and flatten the box for storage. I have a hot glue gun, so I'm confident I can reassemble the box at any time. However, I still have ended up cutting up some big sets' boxes, including the Skull Pirate Ship and BlackBeard's ship boxes; their front artwork now is hung in my son's room as wall art along with some giant PM posters that usually come with those big sets.
For sure, one thing I like about most PM is that the box itself is beautiful art as well, especially with the vintage ones. Newer box art doesn't seem as imaginative or impressive to me IMO.