There's a good
discussion on this issue over in the Apple Support discussions area. Looks like the most common fix is to manually insert a junk rule (click the advanced button in the junk prefs for an example) at the TOP of your rules list. Someone figured out that Apple decided to implement junk processing in Panther's Mail by executing an invisible rule at the BOTTOM of the rules list (Jaguar explicitly showed the rule at the top of the list), so in Panther, if you already have rules that include the "stop processing rules" action, it will effectively disable the automatic junk rule.
Other fixes that people have suggested include resetting junk processing, and rebuilding the prefs (move /Users/yourusername/Library/Preferences/com.apple.mail.plist to your desktop, and restart Mail: this will lose your account info and general user prefs, but will retain all your rules and mailboxes.)
I've been working on troubleshooting a similar problem this morning, and a combination of the above seems to have fixed it.