Agreed. Filter the mail before it gets to you. Loads of options out there to choose from: GFI (as mentioned), SpamHero, ExchangeDefender etc. These services receive mail for you and pass on clean mail (domain MX records point directly to the service rather than to your mail server).
You can then setup your firewall to only accept mail on port 25 from the service. Added bonus is that most of the mail filtering services will spool mail for you if your Exchange goes down for whatever reason (loss of connection etc.)