It has been a common thread in security talks since the inception of spam that it is a bad idea to give any type of response indicating that a human is reading the spam. For example, by clicking on the "unsubscribe" link in a spam, all you are doing is asking to be put on more lists.
This interesting article by Laura Atkins from Word to the Wise (an anti-spam consultancy and software firm), debunks this setiment, and calls it a myth.
It should be noted that clicking on any link in an email could lead to disaster. We always recommend inspecting a link to make sure it is pointing to where you want to go, and ignoring the ones that look suspicious.
As far as unsubscribing from spam? Use your best judgement. At the end of the day, there will always be more spam to be had, and whether you spend time meticulously unsubscribing from it, or just deleting it, is a personal choice.