Should I be afraid to open my mail? 

Absolutely not. But it certainly doesn't hurt right now to more closely inspect your mail before opening it, especially if you work in a large office building, governmental office or other possible high-profile target location.

What should I look for? 

Note whether the mail is expected or not, whether there is anything out of place or unusual about the way it is addressed or packaged. Does it have a return address? If so, does it match the postmark? Is there anything "lumpy" about the package or does it feel like there might be something unusual inside? The presence or absence of any of these items does not necessarily mean that the mail or package is hazardous or a threat!

It's probably just junk mail, but I'm still not sure what to do. 

If you're uncertain or uncomfortable about it, but there's no obvious threat or visible unexplainable substance, simply discard it unopened. If you want to be extra cautious, put on a pair of disposable latex or rubber gloves first, then carefully place the mail in a sealable plastic bag and throw it away. Also discard the gloves and then vigorously wash your hands with soap and water.

If for some reason you must open it, minimize the risks-open it in an isolated area, in a careful and deliberate manner which would least likely disturb the contents.

What if there's a written threat or a powdery substance inside or outside the package?

If the package actually contains some sort of written threat, or seems to contain any type of unexplained substance;

Leave the package in place and isolate it. If you haven't fully opened it yet, don't.

Move everyone away from the immediate area or room where it is located.

Call 911 to alert local authorities.

Vigorously wash your hands with soap and water (this applies to anyone who may have come into contact). 

Keep anyone who may have been exposed in the general area until authorities arrive.

(These steps would apply to any discovery of any suspicious or unexplained substance regardless of whether it was packaged.)