I actually asked myself that question a while ago. And after some search I found some really good answers and some pretty interesting ones.
Space junk is a huge problem. We spend billions on space programs, and junk should be the least of our worries. Over the past few years it has troubled some scientists, with space debris crashing into communication satellites, causing huge problems and interference with operations. Also the fact that their trajectory is unreliable can cause problems for us to understand and draft a good route to dodge all that junk.
There are a few ideas that have been dreamed up to clean up space.
DARPA's Phoenix Project: DARPA plans on using robots that tag along with communication satellites to launch into space. And once in space they detach themselves and hook onto dysfunctional satellites and try to refurbish them.
Switzerland's CleanSpaceOne Program: CleanSpaceOne is a satellite that goes into space and collects all the debris it can and re-enters Earth's atmosphere, where the satellite and its components burn off.
THE MOST INTERESTING ONE! Japan Aerospace Exploration Agency: They plan on deploying a gigantic net to sweep up space junk back into Earth's atmosphere where it will burn off. They have spent 6 years developing that net.
The European Space Agency: They plan to launch ATVs (Automated Transfer Vehicles). These are autonomous vehicles which can use lasers to detect debris and collect it and send it back to earth.
NASA: They plan on using lasers, not to destroy the junk but to nudge them away from the shuttle's path.