If all the different accessories for all the different members of your household tend to end up in one big jumble, use a labeling system for your cubby holes that takes a little more of a strong approach. Paint the interiors of each of the cubbies in a designated color for each member of the house. Choose highly contrasting bold hues to denote the different areas, or keep the colors more similar if you prefer. You can paint the interiors in different shades of muted pastels, or keep all the colors in the cool family.
If your mud room is easily visible, such as if it is a part of your foyer, you may wish to conceal the controlled chaos within the cubby holes with cabinet doors. A contractor can come in and install doors to existing cubby holes, or you can simply use actual cabinets divided into an appropriate configuration.
Incorporate show racks into your mud room design to serve as miniature cubby holes. Small umbrellas, flip flops, gloves and mittens all fit easily into the smaller nooks. Label each of the holes to denote who is supposed to put what where. If you only have a small closet to serve as your mudroom, a hanging shoe rack can serve the same purpose when hung by your cubby holes.
When smaller items need to be stored in your cubbies, contain them with labelled baskets. Depending on your needs, you can choose from several different styles. The metal wire basket is good for mud rooms that will encounter a fair amount of the room's namesake and will need to be cleaned frequently. Less utilitarian are wicker and fabric-lined baskets with the added bonus of the lining being machine washable, making them easy to freshen up after splatters.