Back in the bad old days, merely opening a message could, under the right circumstances, compromise your computer. A little bit of javascript, an attachment that Outlook Express helpfully opened for you automatically, etc.

But nowadays, if your operating system, browser, and email client if you use one are up-to-date, just looking at the email is safe.

I suppose replying with an anonymous account should be OK; if you have time on your hands and want to mess with them, you should be fine. You might get inspiration here: The largest scambaiting community on the planet!