1. NEVER click on an "unsubscribe" link on spam. That only serves to confirm that someone actually reads the spam they send you...and they will then sell your email address to other spammers.

2. If your email address is on your website, you might want to change to using a form mailer, for contact. Spammers harvest email addresses using a spider program. The spider searches websites and gathers any email address it can find.

3. If you participate in newsgroups / usenet, do NOT use your email address in the reply to field of your newsreader. Again, spammers harvest these groups for valid email addresses.
 
Also:

How do spammers harvest email addresses
http://www.private.org.il/harvest.html

SPAM - Munging Your Email Address
http://members.aol.com/emailfaq/mungfaq.html
http://www.internet-tips.net/Email/SPAM_munging.htm

How To Deal With Spam
http://pobox.com/nospam.html

Korean Spam Filter
http://www.siue.edu/~jpogats/korea.html

SPAM Tips and help
http://spam.abuse.net/spam/userhelp/

SpamCop
http://spamcop.net/

SpamCop FAQ Parsing and reporting spam
http://spamcop.net/fom-serve/cache/16.html

A Quick Guide to E-Mail Headers
http://real.fissure.org/articles/headers.shtml

Reading Email Headers
http://www.stopspam.org/email/headers/headers.html

Dealing With Junk Email
http://www.jcrdesign.com/junkemaildeal.html

The SPAM-L FAQ
http://www.claws-and-paws.com/spam-l/index.html