We do. Original DD 214 and copies of wills and powers of attorney, as well as a copy of the folder I made up for him with account numbers, contacts, and passwords,as well as info on life insurance, etc.
We got it shortly after Katrina hit New Orleans - at one time, the Navy kept its records in downtown NO. We don't know what, if anything was lost, but there's no guarantee we'd have been told.
Also copies of birth certificates and deeds, but not passports - they're expired, anyway. Which is actually a pretty good argument for sticking them in there, now that I think about it.