I use a catch-all domain for my email so that mail to e.g. [insert-whatever]@mydomain.example.com goes to me. So, when I register at some cool site I register as firstname.lastname@example.org. This makes it easier for me to identify where spam comes from, and I can easily block it.
I currently use Thunderbird with the Virtual Identity plugin, which supports this scheme fully. When I reply to a mail sent to email@example.com, Virtual Identity sets this address as my From address. I can also edit the From field directly (just as I edit To and Cc), without having to add the From address to a valid-emails-for-this-account preferences dialogue.
I like this a lot, but Thunderbird have other issues I do not like. Editing quoted and pasted text may result in weird formatting and random indenting. This can be quite painful.
Are there any other email clients out there that supports custom From addresses? I see that at least Mail.app and Sparrow do not support it.