I have personally always favored spam filtering on the server side since if it is processed on the server side then all of the clients do not have to get involved in it. If you are receiving unsolicitated e-mails, I would recommend you contacting your mail service provider and filing a complaint as it should be their responsibility to not forward the spam to you in the first place.

Now if you are running your own SMTP server, I would highly recommend SpamAssassin. The basic functions that it uses to block mail are listed on it's main site.
header analysis: spammers use a number of tricks to mask their identities, fool you into thinking they've sent a valid mail, or fool you into thinking you must have subscribed at some stage. SpamAssassin tries to spot these.

text analysis: again, spam mails often have a characteristic style (to put it politely), and some characteristic disclaimers and CYA text. SpamAssassin can spot these, too.

blacklists: SpamAssassin supports many useful existing blacklists, such as mail-abuse.org, ordb.org or others.

Razor: Vipul's Razor is a collaborative spam-tracking database, which works by taking a signature of spam messages. Since spam typically operates by sending an identical message to hundreds of people, Razor short-circuits this by allowing the first person to receive a spam to add it to the database -- at which point everyone else will automatically block it.