Explanation of MX Records

MX (Mail eXchange) records are part of DNS (Directory Name Services) which is how the Internet finds things by name. The Internet runs on IP addresses which are those addresses with 4 numbers (127.0.0.1) but who can remember those numbers? So DNS was created to give names to those numbers. The MX record is part of DNS and it is where you tell the world where to send your email. It tells the world, "These servers handle my email."  You can have multiple "backup" mail servers that host mail for your domain.  If you have multiple mail servers you need to setup MX records with a priority like 10, 20, 30.  Other servers will try to send mail to the highest priority mail server first (10) and if that fails it will resend it to the next mail server on the list (20).

Also MX record are required to be FQDN(full qualifed domain name), which basicly means no IP is allowed in MX record.

okay, but how this works with some external spam filters... then the mail goes thru more mail-servers according your mx records? can you even explain me that?

For ext spamfilters, You are setting MX to that spam-filter-host. The spam-filter-host sets Your real mail-eXchanger as it's smart-host for Your domain. Smart-host is host/IP where MTA(mail-transport-agent, mail server) should send all it's mail.

Okay, and how MX records could look like for a normal Domain which even includes a SpamFilter?

They always look the same, eg:
[raven@server ~]$ host -t mx gmail.com
gmail.com mail is handled by 10 alt1.gmail-smtp-in.l.google.com.
gmail.com mail is handled by 10 alt2.gmail-smtp-in.l.google.com.
gmail.com mail is handled by 50 gsmtp163.google.com.
gmail.com mail is handled by 50 gsmtp183.google.com.
gmail.com mail is handled by 5 gmail-smtp-in.l.google.com.

Or I don't understand Your question.

The question is how the MX Records look like if i run a mailserver and want to receive the mails over a Samfilter?

Your MX records just tells emails servers where to send the mail.  What your MX records look like when using a spam filter depends on the type of spamfilter service you are using.  What type of spamfiltering service are you using?

i am ot using anything right now... i just wanna understand the way it works...

like some spamfilter are doing following

10 MX mail.spamflter.xxx
20 MX mail.mydomain.xxx

i that case it sees like the mails goes first to mail.spamfilter.xxx and later from there to mail.mydomain.xxx.

The #s that you see first (10, 20) are the MX record priorities.  Email will be sent to the first mail server first (10) and if it can't be delivered there the sending server will usually try the second server.  If the mail is delivered to the first record (10) then it will not be sent to the second.  

Most spammers will only attempt to deliver mail once, so if the email can't be delivered to the first mail record then the spam doesn't get sent to the second mail server.  So if the first record is a fake then in essence you will be helping reduce your amount of spam.  

No i guess it works different.

I think the Mail will be delivered to the first one (which is the Spamfilter) after the Spamfilter did the Job it will be forwarded to the second one. If the Spamfilter is not available then it will deliver directly to the second one. Am i right?