To get around your spam filter, spammers that have cached your server's IP address or mail server's host name will ignore your domain's current MX records and try to send directly to your mail server.

Your options for fixing this problem depend on whether your mail server is shared or dedicated. 

For shared mail servers (or if you if do not have access to change your mail server settings), see:

Preventing Spammers from Sending Email Directly to Shared Mail Servers

For dedicated mail servers, see:

Preventing Spammers from Sending Email Directly to Dedicated Mail Servers