SpamBayes is a really neat little proxy server that adds a spam header to all the mail that passes through it; you can then use this to filter things with your mail client. Why do it at all? Well, Mail's bayesian filtering is OK, but not that good. The training system for SpamBayes is much better, IMHO.
Anyway, I put together a little installer package to put a self-contained version of SpamBayes in the Library and run it on startup. You can get the package, and more info about it here.
Mac OS X Hints
http://hints.macworld.com/article.php?story=20040219100247493