1. Mailer Tricks
No mail program is better integrated with SpamBayes than Outlook. For the rest of us there's this support group.
1.1. VM (Emacs/XEmacs)
If you use the VM mail reader in Emacs or XEmacs, you can use this patch to vm-sort.el to allow sorting by the X-SpamBayes-Classification header. It's kind of ugly, but given the way vm-sort.el is written I think it's the best that can be done for now. Ideally, it should be restructured a bit (all (equal ...) clauses extracted into an alist) so you could just drop a new sort function into your ~/.vm file and extend the alist.
1.2. The Bat!
When using The Bat! with POP3 proxy, the client sometimes seems to stop receiving mail. This may happen when you get a message with big attachment, since the SpamBayes passes the message to the mail client only after it finishes to receive it from the mail server, and if the time of receiving the message from the mail server is greater than The Bat!'s timeout, The Bat! simply stops waiting.
In order to fix this you can increase Server Timeout in Transport tab of Account Properties.
Proposals to integrate spambayes with mutt are in the SbFilter wiki page.