There are some commercial products that claim to sort and rid your computer of spam.
You can use a free email account (Yahoo!, Hotmail, etc.) whenever you subscribe to an online newsletter or discussion group - it's a disposable address that you can do away with if it attracts too much spam.
Some ISP's will do some of the sorting for you.

To be honest - the spammers mutate and it's almost impossible to create enough rules to make much of a difference. There isn't much you can do except delete them before opening