Like Greg, I use the spam filter inside of my mail client. I use Thunderbird (free download from the guys that brought you Firefox). After a week or so of "training" it seems to do a pretty good job. Every once in a while something gets caught either way (as a false positive or a false negative).

My mail server also uses SpamAssassin. It will mark messages it thinks as spam, but doesn't do near the job. I can play with some of the settings to be more or less agressive, but Thunderbird does a pretty good job on its own.