Well there are a few things you can do. The easiest thing is to log into your backend and go to Options then Discussion. Change your settings to allow comments to go live automatically without you having to approve them.
I would suggest setting it so any comment that has 2 or more links gets queued though since most of those are spam. The downside is some spam will make it though if they only put in a single link.
Your other option would be to visit
http://codex.wordpress.org/Plugins/Spam_Tools to look at the other spam tools. I have not used the
CAPTCHA ones but they are the "Type in this word" or "Type in this number" where the user looks at an image and has to type it in.
This is probably your best bet to stop spam... but you will have to figure out what works for you since everyones site is different.