If you’re using Snow Leopard’s Mail application to connect to a 2000 or 2003 Exchange server via POP or IMAP, you may loose your junk mail folder.  This issue has been reported numerous times on the Apple Discussion Boards, and in many cases this junk mail folder worked fine until the user upgraded from Leopard to Snow Leopard.  Apples fix is enable Junk mail in Mail for the mailbox (check “Enable junk mail filtering” in the Junk Mail section of the preferences), then disabled the Junk mail on the Exchange server for the account (use the Outlook Web Access, and uncheck “do not filter junk email” in the options section).