This sounds like a funny question because who would ever send themself a spam email? What you really received is a "spoofed" message. It's actually easy to alter an email to change the "from" address to make it appear that it's coming from someone else. Basically a forgery. (This is one of the reasons that if you use a spam filter, you shouldn't necessarily safe list your own address.)
Typically, spoofed messages are an attempt to get ads and phishing exploits through spam filters. You may see that the message is from a familiar sounding name, and then open a message you wouldn't ordinarily open. In a phishing message, someone pretending to be someone you do business with is actually trying to steal your secure information (account number, password, etc).
We typically advise clients to set up an SPF (Sender Policy Framework) record which is an email verification system that checks the true source of an email. This is a code set up in your DNS records that tells the world what the legitimate sending server is for your domain, and mail servers will reject other mail. Keep in mind that if you use an email marketing tool like Constant Contact, you'll also need to add this information to your record (or your legitimate emails will appear to be spoofed.). This will help prevent your good name from being exploited in spoofed messages.
For any incoming mail, always use caution and know that the sender may not be who they say they are!
There's no such thing as 100% protection for any threats on line, but having an SPF record is another layer of defense thats worth a few moments to add to your aresenal.