1. An apparatus comprising: an e-mail relay implemented at least partially in a hardware processor, wherein the e-mail relay provides both (i) filtering of unwanted e-mail based on contents of a database and (ii) collection of attributes and derived information for e-mails received by the e-mail relay for addition to the database and for use in filtering of subsequently received e-mails, the e-mail relay configured to, using the hardware processor, categorize individual ones of the received e-mails into at least three categories, including clean, unwanted and borderline, wherein for at least some of the e-mails categorized as unwanted, either or both of attributes and derived information for the unwanted e-mail are added to the database, and wherein for at least some of the e-mails categorized as borderline, the e-mail relay quarantines the borderline e-mail and supplies an intended recipient thereof with an alternate message that includes a URL by which the intended recipient may initiate a retrieval session and specify that the quarantined e-mail is unwanted, the e-mail relay further configured to, responsive to specification by the intended recipient that the quarantined e-mail is unwanted, prompt the intended recipient to classify the unwanted e-mail according to at least one pre-established category.