Eugene's observations

For many people there are two places where incoming email can be scanned and marked as probable spam, the repository that receives the message, and the mail client used to display it.  If either gets it wrong you will either see messages that should be sent straight to the junk folder or have wanted messages hidden from your normal view due to being incorrectly flagged.

To deal with this don't just delete messages that should be in spam, train the software so that it makes a better decision next time.  It is generally good practice to scan your spam folder periodically and when you get to hear of a message that was sent but not received so that you can improve the scanning algorythm for the future.  If something is found don't just move the message to your inbox, tell the software that it got the designation wrong this time so that it will gradually learn what is and is not spam.

How you mark messages as [not] spam depends on which mail client (if any) you use and the particular mail repository.  For example, if your mail client is Windows Live Mail you would right click a message to tell it about your preference.  And if your repository is Gmail you would need to select the message in webmail and click the hexagonal spam icon.  

This is feasible for most people but as my address is publically viewable on my website and has been active for many years, I get several thousand spam messages a week.  Hence, I only check my spam folder when someone reports that I have not replied to their message.