Well, there's two ways to do it. The first, of course, is to save every spam message that comes across your desk. For most this is a problem because they remove their spam using a spam blocker. There's got to be another solution.
And there is. Thanks to Michael Dinowitz, longtime host of the House of Fusion mailing lists and amateur anti-spam pattern writer, there is now an online archive of the tens of thousands of spam messages that have been sent to and blocked by House of Fusion. Each of these messages are indexed by domain and IP, and not only can you see the message itself, but also the headers and other information that may be of interest. All the archives are set up to be indexed by google, so doing a google search with a spam keyword and a "site:House of Fusion" is sure to get you the spam message or messages that you want. (Gotta love Google!)
The House of Fusion spam archives are located at http://www.houseoffusion.com/spam.