It’s not because a spammer has hijacked your e-mail account and is spamming the world using your identity.
One possibility is that someone you know, or have had e-mail contact with, has had their computer infected with spyware turning their computer into a member of a spam botnet. Botnet is a jargon term for a collection of software robots, or bots, which run autonomously. Specially crafted software compromises the users contacts list and uses the infected computer to send spam all over the world using random addresses from the contacts list (including yours) in the from field of the spam messages.
Another possibility is a spammer is disguising the true sender of the e-mail with your address. This process called e-mail spoofing which is a form of the joe-job, a spam run forged to appear as though it came from an innocent party. In e-mail spoofing, the sender manually constructs the e-mail header and chooses which information (your e-mail address as the sender, for example) to include.
In either case, it really isn't worth your time and trouble to try and do anything about it. The header info MIGHT give you an idea but probably not.
There is a possibility it could be your own computer that's infected when you're receiving messages from yourself. Its a good idea to check your own machine for viruses, trojans or spyware.
Why do the spammers do this? This is a common tactic by spammers, who simply want to make you curious about getting an email 'from yourself', to get you to read the e-mail and/or click on the hyperlinks contained in the e-mail. Sometimes the spammers want you to buy the products they are peddling; sometimes they want you to click on the link contained in the e-mail, which signals them that their e-mail message received a live account with a curious human at the other end, and they can then sell your e-mail address to other spammers as a potential audience for more spam from a different source. Sometimes it is for both these reasons and also to bypass filters set up through the e-mail client. Most people don’t even think about having to filter out e-mails sent to themselves from themselves.
Self-sending spam relies on human nature. A 2002 study by Hamilton, Ontario’s McMaster University revealed that e-mail’s containing shared names of the recipient had an emotional appeal that caused the recipient to read the e-mail in greater numbers than e-mail that came from sources that did not share a name with the recipient. Also, human curiosity compels the recipient to want to know how he has sent himself a spam e-mail, resulting in the recipient of self-sent spam to read the e-mail to investigate.