My experience with Apple Mail's junk mail features hasn't been that good. The author suggests that it's better than Bayesian filtering, but my stats from SpamSieve indicate that it's 99.5% accurate on my real live mail, while the author says that Apple's Mail can theoretically get up to 98%.
Sounds like a small difference, but do the math. If you receive 100 messages a week (low volume), that's 5200 messages a year. Mail will make 100+ mistakes a year; SpamSieve will make 25 or so.
If, like me, you get several hundred messages a day, then the difference is even noticeable.
And this assumes that Mail reaches 98%, which it's no where near for me. More like 90%. So now we're talking 500+ mistakes a year, on a low-volume e-mail account.
Your mileage may vary, but if you get a lot of spam, you should definitely try SpamSieve, which works with Mail, Eudora, Mailsmith, and most other e-mail clients for Mac OS X.