The following tools work with email programs like Outlook, Thunderbird and Eudora that use POP3 (post office protocol) email, the most common standard.
MailWasher lets you set up your own spam filters, like most email programs. But it also allows you to inspect messages before they're downloaded to your computer. Your messages remain on the email server so that malicious attachments can't get to you. Then you can download and save the messages you want as you normally would.
POPFile is a basic Bayesian filter. The longer you use it, the better it gets at sending spam to the junk folder. To distinguish itself, this program claims to learn to sort mail to multiple folders based on your habits. I haven't tried this feature myself. But it's an interesting way to use a Bayesian filter for added convenience on top of spam control.