El Capitan Mail 9.1: Disable remote content loading for junk mail only
First, make sure Mail's junk mail filtering is enabled in Mail preferences under Junk Mail.

Messages marked as "Junk" in Mail (orange-tinted, with the  icon) will automatically not display remote content, even if "Load remote content in messages" is turned on in Mail preferences! If Mail automatically detected a message to be junk, the following banner will be displayed:



However, if a message arrives that Mail doesn't think is Junk, this leaves you with a problem: if you view the message to mark it as junk, the remote content will be loaded. To mark a message as junk without loading it, right-click it in the message list and click Mark > As Junk Mail.



Now if you view it, it will show this banner instead of loading remote content: