You guys mind if I weigh in? This is actually my job - I'm a Microsoft Exchange administrator for a college here in Charleston. The way in works in our shop is that I'm also the Outlook Helpdesk guy. As it turns out, now I'm also the anti-spam guy.
So here's what my experience tells me: Outlook is a fine email client and personal information manager. If you don't need the all of the PIM stuff, like the calendar, contacts, journal, task list, etc, you might be better served with another client. Outlook with Service Pack 2 will filter spam, but in my opinion, it works only OK, not great. In my opinion, Outlook 2003 might be one of the buggiest programs I've ever seen. Third-party plugins make it crash. Using Word as the email editor makes it crash. Corrupted personal folders and personal profiles can make it crash. Your experience may differ.
All that said, the best spam filtering takes place at the server-level, not at the client level. We recently purchased an application from Symantec commonly called Brightmail, and installed it on our gateway SMTP servers. Symantec updates the spam filters for Brightmail every 10 minutes or so. They get spam updates from users around the world because every user has been turned into a spam detector - every spam message that makes it past the filters can be reported back to Symantec with the click of the mouse. How's that for a business model? Anyway, we've been testing for a couple of months, and our test users all rave about it. We're going live with it for the rest of the college the Monday after Thanksgiving.
Anyway, my whole point is is that if you want to block spam, find a provider who will do that for you. Like Statik13, I have a Gmail account, and I have NEVER had a piece of spam in my Inbox. It all goes into the spam folder, which I empty out about once a month.