I use the free version of Mail Washer, which lets me scan them without loading more than 1Kb per message (mainly the headers & Subject). This is also useful for checking attachments sizes (certain sizes tend to be viruses) and you can set up a check for the type of attachments. The messages are marked accordingly.

I delete the stuff I don't want, and can quickly check if one is spam or not - no download of any graphics or attachment takes place, so it is relatively safe.

I can easily add sender's addresses to accept or reject status. The program also can set up whole domains to be rejected, and it checks with certain places on the common spammer's domains.