My first post here, but I feel very strongly about this so I have to weigh in.
I kept my maiden name when we married and added his last name as well - so I'm Jenn maiden name married name. I don't care if you call me by my maiden name or by my married name, just don't call me Mrs. Matt hislastname. I didn't change my first name when I married him, and almost didn't change my last name either. I refuse to open mail addressed that way (it's usually junk, so doesn't matter). Hubby usually ends up opening it and deals with anything actually legit - while giving the addressee the quiet head's up that I have my own identity.
Welcome to the forum!
FYI, proper etiquette is actually Mrs. hisfirstname hislastname. Do the people that send the legit mail know ahead of time your preference? I only ask because if I'm not sure then I will always err on the side of proper etiquette. Especially since I have never felt that I became any less an individual since I've been married, I just don't think on those lines. Of course if I am then politely informed that the addressee prefers something different I will try my darndest to address them the way that they like.
I'm sorry, I should have clarified

Other than junk mail, the only person who does it is my mother-in-law, who is rather toxic - refuses to address me by name (uses his ex-girlfriends name), caused problems with our wedding, etc. She knows my preferences and just doesn't care.
I realize it's proper etiquette, but my last name isn't his, it's maiden name married name. I don't mind responding to either my maiden name or just my married name, but I don't accept Mrs. hisname hislastname.
I should add - I don't feel my identity was swallowed up by marrying him. Is it too much to ask, though, that mailing specifically addressed to me actually be addressed to me? I should add - assuming his name at all was something I struggled greatly with, because of my accomplishments professionally pre-marriage, and only decided to add his last name because we're expecting and it's important to my husband for all of us to have the same name. Surely proper etiquette takes into the account the preferences of the person being addressed?