There's an article on thenest.com to help. It's under 'Newlywed Central'. Good place to start. Use their list and write down your own additions as you think of them.
I basically started with my social security card, then drivers license (and car and voter registration) then bank account and paycheck, and now I'm going through all my bills (credit cards, loans, utilities, etc). I figure I'll get all the things I deal with on a monthly basis within the next few months, but the things I don't even think about - like store loyalty programs and magazine subscriptions - will probably just have to wait until I'm reminded while using them. I'm kind of playing it by ear.
I don't know of any websites that actually do it for you, if that's what you're looking for, and I don't think I would trust them. I kind of like the old fashioned way of going into a building and showing an ID, however most things like credit cards, loans and utilities, let you change it online if you pay your bills that way.