Unlike direct mail or telemarketing, email spam has very low per-message cost. In many cases spammers have almost no cost because they are sending email through other people's computers that are infected with a worm or virus, which causes others to bear the cost of their messaging. As a result, despite extremely low response rates, spammers can make a profit fairly easily. The more emails a spammer can send, the greater his profit while the cost remains nearly constant.
According to the information gathered by the Spamhaus Project, most of the systems used for sending spam are located in the United States. See the top 10 list here.
