One thing I would add: with practice, you can tell which opt out links are more likely legitimate and which ones are totally bogus. As a general rule, an opt out link that merely sends an email to a free email address (Yahoo, Hotmail, etc.) is totally bogus and, as Ed says, will get you nowhere. A form at some offshore web site will likely not reduce your spam and may increase it. A form at a .com web site, and particularly one that seems, upon a review of the web site, to be a legitimate mailing list server is the best (but not guaranteed) bet.
One of the head IT guys at my firm did an experiment. He tried to opt out of every piece of spam he received over an extended period of time. The result: he says he got less and less spam over time. The “never reply to spammers” approach should be canned in favor of the “judiciously respond to spammers” approach.
One final tip. The best thing to happen to spam prevention in a long time is the new version of Outlook (Outlook 2003). It has a very effective spam filter that will eliminate a lot of spam. Be sure to keep the spam filter updated, either automatically via Windows Update or via the Help/Check for Updates menu. There is a new service pack update that adds additional spam protection.
And as Ed reminds us: never, ever, ever buy anything from a spammer.