I don't like ISP spam filtering. It may get 90% + right but there is always going to be the odd bit that gets through (not really a problem) and the odd valid message that gets bounced. I have had particluar problems sending to friends with aol accounts in the past.
My ISP (the one I use for web hosting) does not attempt to block the spam but does modify the message to make it easy to set up filtering rules on programs like OE. Suspect messages reach me marked as low priority and with [RBL] added to the subject line.
That of course means I still have to download the messages but I am in the fortunate position of also being able to access my email via the web and I believe (I've never looked into it) set up my own filtering rules to be executed at the server.