Never click on the "remove me" link at the bottom of emails, unless you are SURE the company is reputable and that you want to continue doing business with them -- all these links do is validate the fact that your email address works, and while it may remove you from that one list (but may not), all it does is sign you up for many, many more.
Bayesian Filtering is DEFINITELY the way to go. It's been mentioned already so I won't repeat it....
One of the coolest things I've done recently, is gotten Hotmail Popper and now I use Mozilla's email and bayesian junk filters which works A LOT better than Hotmail's crap junk mail filter. I've had my Hotmail account forever, and want to continue using it, and this new system has made it so much easier.
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