Aluminum and copper is most definitely worth recycling. Making aluminum from raw ore is highly energy intensive.
Recycling some electronic parts for their rare-earth metals is also well-worth it, simply because China has the vast majority of economically accessible ore.
Other metals are probably worth recycling. Not sure on this.
Batteries, used motor oil and CFL bulbs are worth recycling because of their toxicity. But not because of economics.
Glass...no. Cannot mix clear glass with green glass with brown glass. Too labor intensive to sort.
Paper...hell no. Actually harms the environment - discourages planting of new trees. Makes more sense to simply burn it in a trash-to-energy plant.
Plastic...costs more to collect it than to make it from raw materials. No incentive to recycle.