If Arriving by land or sea and departing via air....
You will receive a paper I-94. However, when departing via air, your airline will ELECTRONICALLY record your departure. It might be a good idea to keep a boarding record and the paper I-94 in a safe place.
If Arriving by Air and departing via land or sea...
You will NOT receive a paper I-94. You will still need to prove to CBP you departed. So what you need to do on exit is ask CBSA or Mexican border authorities to stamp your passport, even if not normally done to prove your exit from the United States. This along with travel documentation will prove your exit from the US.
Also, CBP will advise you of your requirements on exit. They always ask how and when you'll be leaving and they would also be able to advise you of your legal requirements on entry.