I use Gmail.  When you give out your address to someone, you can add a label to it so that when you do get spam, you can look at the recipient address and get a clue to where it originated from.

For example, let's say your email address is you@gmail.com.  When you give out your email address to someone, you can append a label to your address like so:  you+Bob@gmail.com.  When you get spam and you see that it's sent to that address, you know that Bob's email account probably has been hacked. 

Now you can create a filter for that email address so that as soon as you receive any more spam to that address, the filter will automatically delete it.  So this works like the spamgourmet that BB mentioned.

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