Like nfpgasmask stated, the easiest way to identify bogus links in your e-mail inbox is to roll the mouse over the link WITHOUT clicking - the status bar at the bottom of your browser will show the ACTUAL ADDRESS that the link is pointing to (the "link" that your mouse is hovering over can say anything you want - it's the address that appears at the bottom that tells you where it will actually take you). Look at these two examples:

This is my first example
This is my second example

So if you get an e-mail from eBay that points you to a link that doesn't start with www.ebay.com then you can be pretty certain that it's not from eBay.

Something that I do that helps tremendously is that I use two e-mail accounts. One is for PEOPLE that I know. I NEVER use it for web site forms or anyone who I am the slightest bit unsure what or when they will send me things. I use another account for everyone else, and I ALWAYS use my initials, even for first and last name (or an abbreviated form such as K Paske) when using this account. That way, everything that is addressed to me using K Paske I know is unsolicited. My junk mail filter is set to send anything from anyone NOT in my address book to the junk mail folder, which I scan periodically for solicited e-mails that slip through.

This system works well for me, I VERY RARELY ever get spam in either of my primary mailboxes, and e-mails from people that I know get through quickly. This also helps filter the SCAM e-mails because I've got eBay, PayPal, etc in my address book, so if they really send me something, it goes straight into my inbox, while the spam-scams get tossed into junk mail (beware that if the spammer knows how to spoof his address and chooses the right one, it might make it through my filter; then I rely on the content [such as false links] to send up the red flag).

Hopefully these tips might help someone.