Email addresses are sold daily. Live (verified)email addresses are at a premium... You would be surprised to see how many financial institutions sell your email address. Yes, I'm talking about your bank among many other types of businesses...
Read the EULA's and you will see something along the lines of sharing with affiliates, 3rd parties, etc... You typically agree to this...
You don't even have to click on the links in emails. If your security is not set up proper they know you are there when the email is downloaded in your preview screen. If you have tighter security, it will ask and warn you about downloading content to view in the email...
Never open an attachment or click a link unless you are positive that it was intentionally sent to you from someone you know. Really you shouldn't even preview emails, especially from unknown sources. If someone you know wants to reach you bad enough, they will call or send you another email if the original is deleted.
And as mentioned in an earlier post, some baddies can get into someone's computer that you know and send you emails from them, or appear to be from them...
Curiosity killed the cat as well as many computers...
To sum it up, curiosity is what pays for the bad guys...