I keep everything. I stack loose sketches in boxes and hide them under the bed (or wherever they happen to fit), I line up old sketchbooks on my bookshelves, I've got folder upon folder of old art scattered on my computer and across multiple external HDs.
Heck, I've even got the very first story I ever illustrated, back when I was 7, sitting around in a drawer somewhere.
It does take up a bunch of space, and there ARE sketches I do throw away - basic sketches for watercolour paintings, for example, usually get tossed out once I've finished the painting - but I am a bit of a pack-rat most of the time.
A lot of my comic-ideas develop over a long time, and I've more than once gone back to old sketchbooks and lifted ideas for new projects. Just to name one example - I once got rid of an entire storyline and fictional universe because it just didn't work, but I kept the characters and transferred them into a new world/story, where they fit much better - and I never would have been able to do that if I hadn't kept the sketchbooks around as a reminder.
You can always cannibalise old ideas for parts to new ones!