I move my spam to my junk folder every time.
And I primarily groan and whine a little each time I have to move more spam to junk.
Hitting the "junk" option will put that particular domain on a black list, not just the one email address, so once they get enough "complaints" they will no longer be able to send from that entire domain. It won't happen with just one complaint, so the best bet is to continue moving the addresses to "junk".
The only links that will most likely "remove" you from a list are links associated with email newsletter companies such as iContact and Constant Contact. The links within spam are indeed verifying your email is active, and selling it seconds later.
If anything, at least the emails won't show up in your inbox anymore to have to sift through. Also - you can have your junk mail folder on a delete schedule so that it will automatically delete every few days... this way you don't actually have to open any emails that may be hazardous.