Size
There are no rules - and the more unusual the size the more likely the reader is to take notice - but remember these facts.
The normal sizes for direct mail are
Certainly it is not worth sending two or three A4 sheets flat - they will simply get crumpled in the post. What you should consider, if you have a small number of A4 sheets is folding them in half and putting them in a C5.
How many items?
Much depends on the type of message and the people you are trying reach. Three or four pages is quite normal, as is the standard catalogue plus cover letter, or the brochure again with the cover letter.
But there is no rule that says you can't send 8 pieces of paper - or indeed 8 pieces of paper of different sizes. In the end everything comes down to the simple question - does it work or not?