Since I upgraded to WP 2.0 I got rid of the CAPTCHA and still don’t have spam in the comments. That’s not to say people aren’t trying but 2.0 has a little program called Akismet that seems to do a really great job of catching spam. I think mine has caught close to 100 so far. If you are still using 1.5 I recommend upgrading and getting rid of your CAPTCHA.
Edit:Â I just checked and Akismet has actually caught 143 so far.