I sometimes don't delete spam comments but do strip the URLs out if they're spammy. Some spammers actually go through the trouble of manually entering comments which mostly relate to the discussion and so I see them worth keeping.

But it's a rare case and usually they get wiped from the face of the earth ASAP.

I’ve left one so far as well, Neil, for exactly the same reasons. The chap tried to sell a product connected with my post. But the second time he came back, I deleted the comment and told him off. One ad is enough, unless he wants to pay for my hosting fees.