Starting points on spam protection

When receiving spam:

Do not reply to the address in the from: field. It is forged, as is majority of the mail headers content (except for the "received" IP addresses), and is very often the address of an unknowing victim, or a known privacy activist (also termed as Joe-Jobs).
Do not load HTML email with images. These images are used by the spammer to analyze your behavior, check your IP address and validate your address (look for typical CGI syntax in the image tags, like index.html?something=address). Use an e-mail application that can turn off images/javascript/cookies, like Mozilla Thunderbird. Yahoo! Mail and Hotmail now offer to turn off HTML images in your account preferences.
Do not use the "remove" link (unsubscribe links) or any links in the spam email for that matter. They do not remove you, this only validates your address, which is added to a list of recently confirmed addresses that go for a higher price.

By sending back a 'remove' you are confirming that your ISP doesn't use spam Block Lists or spam filters, you are confirming that you actually read spams and that you follow the spammer's instructions such as "click here to be removed". You're the perfect candidate for more spam.
- spamhaus.org

Opting out, a method suggested by marketing groups with an obvious agenda, can never work anyway. There are more than 20 million businesses just in the US, unsubscribing to all of them would take a life time for an individual. Why would you need to unsubscribe from lists which you never subscribed in the first place? It's not your responsability. Your inbox is your property, not an advertising medium. To quote SpamHaus.org, don't remove yourself from spammer's lists, remove spammers from the internet...
Use your email client or web service filters (or message rules) to discard a good portion of spam, but check your spam folder regularly in case a legit message has been wrongly filtered. One good filter is to trash all email's using HTML (keyword: Content-Type: text/html;) and that are not directly addressed to you (to: field). Some other recurrent key words can also be used, like "casino", "opt-in", "teens" or the barely used "ADV:" if the sender at least complies to californian laws. If you subscribe to valid newsletters, create exceptions for them (also called white-listing).
Do not publish your address on the web, or if necessary, use web mail accounts that can be thrown out in the future. If you are a webmaster, do as I do, use a contact form, or use other protective methods to publish your address. Keep your real email within your circle of friends and colleagues. If you type your address for a contest, to try a software demo, or any other short term services, use a disposable web mail account, or these services to protect your current one by creating email aliases: sneakemail.com, spamgourmet.com, jetable.org. Experts will create specific addresses for these services (example: win_a_car@domain.com), or use sneakemail.com, to observe the legitimacy of their Privacy Terms. Do not send greeting cards or use the "send link to a friend" features with shady web sites. For more information on how spammers acquire your e-mail address and some ways to avoid it, read this well done report.

Spam is against the Terms of Use of all ISPs

I could go on and on about how spam is detrimental, how spammers are unethical and go out of their way to cheat your filters and hide their origin, but the point is moot and is better presented in this newsgroup FAQ and at Cauce.org, the Coalition Against Unsolicited Commercial Email, a non-profit group for the dissemination of information regarding spam that lobbies for protective legislation in favor of citizens. Unsolicited emails may still not be illegal in some places, but it is against the Terms of Use of all respectable ISPs out there, just like bad behavior in a restaurant is not against specific laws but is prohibited by the restaurant's policy.

"[They] have come to court not because their freedom of speech is seriously threatened but because their profits are; to dress up their complaints in First Amendment garb demeans the principles for which the First Amendment stands and the protections it was designed to afford."
- Federal Judge Stanley Sporkin