I should also have added that the risk of losing genuine mail is minimal. First of all there are the whitelists, as Andrew has already mentioned, which if set up properly will let through most genuine mail. And each filter rule can have its own action specified. So for example, you can tell Hermes that any mail from wearespammers.ru should be nuked right away and you never need to know it was there, whereas something with "member" in the subject line is reported in a list (in case it's about that membership you've just applied for) and you would then manually decide to fetch or delete it. By careful use of the various rules you can avoid false positives while minimising the amount of spam you have to check manually.
As for bandwidth, while I agree that it's less of a problem with broadband, nevertheless if a million people each receiving 100 spams a day fetched only the headers, that would free up a bit of bandwidth for others to use!