The last time I checked my spam folder, I noticed a few messages included an unsubscribe link. Well that's nice, I thought. Maybe spammers realise that some people will never respond, so they want to trim their lists for efficiency. I clicked "unsubscribe". That was a mistake.
While "legit companies" honour unsubscribe requests, says the McAfee Labs blog, "shady" ones just use the unsubscribe buttons to confirm your address and send you more spam. Sophos blogger Alan Zeichick says that clicking unsubscribe tells the spammer you opened their email, possibly because you were interested or suspected it was real. By visiting the spammer's fake unsubscribe page, you're giving them your browser info and IP address, and even opening yourself up to malware attacks.
If an email looks like truly shady spam (and not just a newsletter you're sick of reading), don't click any links. Just mark it as spam and move on.