I'm a customer of another big bad bank -- Bank of America -- and they return my cancelled checks every month. Furthermore, I have NEVER been forced to call them to make them continue doing so. Maybe I'm grandfathered in somehow.
I didn't choose B of A, I just ended up with an account there as the result of a couple of mergers (Hibernia Bank -> Security Pacific -> B of A).
A nice feature (fairly new) on B of A online banking is that you can click on a check description to pull up an image of that check. Of course, they may now try to use that as a pretext to discontinue sending me my cancelled checks. We'll see!
Kathy