SPAM is a hassle for everyone except spammers. It increases the load on mailservers, which directly increases the cost of running those servers by demanding more computing power and greater bandwidth. It requires a massive amount of administrative work to stay on top of current anti-SPAM trends and to keep the servers humming happily. Spam eats into your time and money as well. Your ISP and your web host increase their service fees in order to be able to cover the cost of combating spam. Likely every time you open your e-mail client you sort through some spam, no matter how good your filters are. If you have very strict spam filtering set up, it is also likely that you are missing some legitimate e-mail due to false positives. I could go on and on about the cost of dealing with spam. I think you get the picture. So I will go on to list a few resources which I have found very valuable in my own research and battle against spam on both a server administration and a client level.

For the e-mail end user:
The Spam Primer is a brilliant site written by Randy Cassingham, who has been a professional presence on the internet for over a decade. Randy's Primer is intended for client use, and is written such that just about everyone should be able to understand and follow his suggestions.

For the website administrator:
Project Honeypot is a service intended for people who are running their own websites. They give you scripts which create black holes to trap spam harvesters and log their activity in your black hole script. Using the generated log data you can better structure your anti-spam battle plan. They also have loads of good information for non-script spam combating as well.

For the server administrator:
The "Stop Helping Spammers" article at nearlyfreespeech.net is full of excellent suggestions for mailserver administrators. It breaks down some of the more heady information into simple explanations.

Now you have three different approaches to combating spam, for three different levels of e-mail involvement. There are many more, but those three should at the very least help you to better understand what spam is about and why it always seems to overpower your every effort to obliterate it..