I’ve found I rather like the way I can deal with spam at GMX: it ends up in its own folder, and I can’t empty the folder all at once, so what I do is scan a screenful (which is 100 messages due to the preferences I set for that folder), then click “Select all” and then “Delete selected messages”. This sends them to the Trash, which gets emptied automatically after 24 hours. The spam folder itself keeps messages for 30 days.
This way, I don’t have to check my spam folder every day, and - more importantly - if I see a non-spam message right after clicking “Delete selected messages”, it’s not gone completely, and I can recover it from Trash. (What I usually do is manually move it to the Spam folder so that I can then click on “Do not treat as spam” and train the spam filter.)
By contrast, Hotmail and Gmail treat deleting a message from the spam folder as permanent.
(I suppose it also has to do with how I use the Trash on those sites, though: since I use GMX for POPing my messages to my local computer, the Inbox stays fairly small and so Trash is only filled with spam that I’ve reviewed that day, and a 1-day retention is fine. On FastMail.FM, by contrast, I keep all the messages on the site and so the Trash is filled with “real” messages that I’ve read and don’t need to consider any more, and so any spam I’d move there would blend in with real stuff more easily.)