Mail does have a pretty damn good junk mail filter, it just takes a bit longer to train than others (but in the end winds up being more reliable). So it sounds like the spam is already going to your Junk Mail folder, why does this piss you off? Just don't look in there if you don't want to. Turning on spam filtering with your ISP means you will never know if it's deleting good messages or not. However, most ISPs insert a header into any emails it thinks are spam, and Mail automatically recognizes the header, so in a way, it's filtering the same stuff your ISP would-- it just junks it, instead of deleting it right away.
edit: by the way, those "unsubscribe me" links in spam may work for some spammers, but the vast majority use it to verify the address-- if someone tries to remove their address, it means the address is good, so they can turn around and sell it for higher than an unverified email. Often, you'll wind up with significantly more spam if you use these.
paul