The one that I see most often is the email that says there's a problem with an online account, and it gives you a link that sends you to a page that looks like the real thing but isn't. When you log into the fake page it doesn't do anything but you've just signed over your username/password. It could be Paypal, Ebay, a bank, or any number of other websites. The easy way to prevent getting tricked is to watch the address bar to make sure you're actually on a paypal or ebay website. You can also enable the status bar in internet explorer and when the pointer is held over a link, it'll show you the address it's really going to link to in the status bar at the bottom of the page.
Hotmail does a fair job of keeping most of the scams in my junk folder. The ones that do get through to the inbox usually have the links disabled, along with pop up warnings when the links are clicked, and sometimes a warning that it's suspicious.
In the event that you do fall for a phishing scam, as long as you're prompt about it you can usually change your password on the real page before someone gets around to using your old password.