If you open it, there may be an embedded URL (e.g. a picture, logo, or looks like text) with a unique address that was only in the mail sent to you, so if you open the mail, the URL is accessed, and by seeing which URLs have been accessed and matching to email addressees, they know who has opened the mail, and therefore which is a valid address.
Validated addresses can be sold for more money.
You can set your mails to open as text only (but tiresome as it will prevent to seeing the genuine ones only) or, before opening ones you are suspicious of, you can (in OE) right click, properties, details, source and see what it is.
If the content is not what you were expecting, or it begins with a random assortment of words to trick the spam filter, then you can delete it before opening.
(you need to have message preview pane switched off.)
