Ok, I am totally naive I guess, but what is the purpose of spam?
It's [unwanted] advertising.
Do they make money? Hits?
They do make money, typically on a per-hit basis.
Most bloggers delete the spam....is it just to annoy us?
Yes and no. Spam is deleted just as much as TV commercials are ignored and billboards are forgotten. In the end, it's all distributed by a spammer's automated system, so no one really cares who's listening, they only care about how many hits they receive at the end of the day.
The links that Schulte provided will help you to fend off the spammers' attacks. The more pro-active plugins like Bad Behavior or Spam Karma will be your best bet at fending off most spam, but WordPress' default anti-spam tools (available in Options/Discussion) also do a fair job.