SMS Filter can filter incoming SMS messages before they reach your inbox. You can filter by address, and optionally add parts that must occur in the message for it to be blocked.
By default, SMS Filter will not delete incoming messages. You will get a silent status bar notification when SMS Filter has filtered an incoming message, which you can view by opening the notification or by opening the application.
You can also tell SMS Filter to delete incoming messages, in which case it will happily do so for you. To do this, just turn off the 'Save messages' preference.
key:sms, filter, sms filter, message