SpamCop has always been great for me and I don't object to the occasional minimal payment (for bandwidth) as I will rely on their recommendations quite a bit. I have had occasion to see that I've hit their blacklist occasionally but I believe that's due to SPAMbots claiming to be me (using other IP addresses, NOT my EXIM!). Those are quickly gone (presumably because I report the "rejected e-mail" purporting to be from me to SpamCop).
I had had an instance on a past host where malware had gotten into my account and jammed my SMTP queue with SPAM. Thankfully, I'd throttled the VPS's outgoing mail so the deluge was minimized but it was an experience I don't want to repeat - the support team kept scanning my account with maldet to find and delete all malware and then installed it to run via CRON to identify any further malware intrusions.
That said, MailWasher Pro is the app I use to "view" all my e-mail before downloading to my computer. Some "suggested SPAM" and some I have on Delete get unchecked (Delete) and downloaded but very few. This has served (for years) to keep most SPAM and all malware from being downloaded. In general, I will Delete all e-mail from unknown parties but will often check the headers and the sneak peak into the messages marked Delete (not SPAM).
I'm the same way with SpamHaus, though, as I'd been on a server which was part of a BLOCK of IP addresses SpamHaus blocked. They would not "punch a hole" in their block of addresses for me and the host would not allow their EXIM to send e-mail from my dedicated IP Address (I left them - Site 5 - for this failure).
SPAM is a worldwide problem and I do my part to eradicate it as best I can (via SpamCop and not downloading as well as ensuring that maldet detects any malware which finds its way onto my server and prevents my server from contributing to the deluge).