Adding another state (spam, reject, approve) to wordpress comments?

Assuming you'd like the facility to update this data from the quickedit box whilst viewing the list of comments, you'll need a series of actions and filters. I've tried to make appropriate comments in the necessary places for you, though bear in mind i threw this all together for you with a small amount of testing(it does work though).

This should get give you a good starting point...

// Add new heading to comments tables
add_filter( 'manage_edit-comments_columns', 'winner_comment_column' );
function winner_comment_column( $columns ) {
    $columns['winning_comment'] = __( 'Winning Comment' );
    return $columns;
}

// Print comment meta for new meta column
add_action( 'manage_comments_custom_column', 'myplugin_comment_column', 10, 2 );
function myplugin_comment_column( $column, $comment_ID ) {
    if ( 'winning_comment' != $column )
        return;
    echo esc_attr( get_comment_meta( $comment_ID, 'win_comment', true ) );
}

// Replace the quickedit action to call an additional expandedOpen function
add_filter( 'comment_row_actions', 'my_quick_edit_action', 10, 2 );
function my_quick_edit_action( $actions, $comment ) {
    global $post;
    $actions['quickedit'] = '<a onclick="commentReply.close();if( typeof(expandedOpen) == \'function\' ) expandedOpen('.$comment->comment_ID.');commentReply.open( \''.$comment->comment_ID.'\',\''.$post->ID.'\',\'edit\' );return false;" class="vim-q" title="'.esc_attr__( 'Quick Edit' ).'" href="#">' . __( 'Quick Edit' ) . '</a>';
    return $actions;
}

// Add some javscript into the footer for the edit comments page
add_action('admin_footer-edit-comments.php', 'my_quick_edit_javascript');
function my_quick_edit_javascript() {

    // Create nonce
    $nonce = wp_create_nonce( 'my_cmeta' );
    ?>
    <script type="text/javascript">
    function expandedOpen(id) {
        // Pull the data from the new column and pass that along to our new input
        var mv = jQuery('tr#comment-'+id+' .column-winning_comment').text() || '';
        jQuery('#comment-meta-mycustommeta').val(mv);
    }
    function saveCommentMeta() {
        // Build the data object for the ajax action setup to update comment meta
        var cid = jQuery('#comment_ID').val() || 0;
        var mv  = jQuery('#comment-meta-mycustommeta').val() || '';
        var data = {
            action: "update_winning_comment",
            _ajax_nonce: "<?php echo $nonce; ?>",
            comment_ID: cid,
            comment_metaKey: 'win_comment',
            comment_metaValue: mv
        };
        // Post data to ajax
        jQuery.post( ajaxurl, data, function(response) {
            if( 'success' != response )
                return;
            // Valid response, update the new table column(so you don't need to refresh)
            jQuery('tr#comment-'+cid+' .column-winning_comment').text(mv);
            // Close the quickedit
            commentReply.close();
        });
    };
    </script>
    <?php
}

// Setup ajax callback for the new action
add_action( 'wp_ajax_update_winning_comment', 'update_winning_comment_ajax' );
function update_winning_comment_ajax() {

    // Check nonce
    check_ajax_referer( 'my_cmeta' );
    // Check expected fields are there
    foreach( array( 'comment_ID', 'comment_metaKey', 'comment_metaValue' ) as $field )
        if( !isset( $_POST[$field] ) )
            die;

    // Validate ID
    $commentID  = absint( $_POST['comment_ID'] );
    if( !$commentID )
        die;

    // Validate meta key
    $commentKey = sanitize_title( $_POST['comment_metaKey'] );
    if( empty( $commentKey ) )
        die;

    // Validate meta value(or empty)
    $commentVal = sanitize_title( $_POST['comment_metaValue'] );

    // Update meta 
    update_comment_meta( $commentID, $commentKey, $commentVal );

    // Success response
    echo 'success';// Echoed value is received as the response
    // And die, expected behaviour for ajax actions
    die;
}

// Run filter on the comment reply box(necessary to add new fields into the quickedit box)
add_filter( 'wp_comment_reply', 'my_quick_edit_menu', 10, 2 );
function my_quick_edit_menu($str, $input) {

    extract( $input );
    $table_row = true;

    if( $mode == 'single' )
        $wp_list_table = _get_list_table('WP_Post_Comments_List_Table');
    else 
        $wp_list_table = _get_list_table('WP_Comments_List_Table');

    // Get editor string
    ob_start();
        $quicktags_settings = array( 'buttons' => 'strong,em,link,block,del,ins,img,ul,ol,li,code,spell,close' );
    wp_editor( '', 'replycontent', array( 'media_buttons' => false, 'tinymce' => false, 'quicktags' => $quicktags_settings, 'tabindex' => 104 ) );
    $editorStr = ob_get_contents();
    ob_end_clean();


    // Get nonce string
    ob_start();    
    wp_nonce_field( "replyto-comment", "_ajax_nonce-replyto-comment", false );
        if ( current_user_can( "unfiltered_html" ) )
        wp_nonce_field( "unfiltered-html-comment", "_wp_unfiltered_html_comment", false );
    $nonceStr = ob_get_contents();
    ob_end_clean();


    $content = '<form method="get" action="">';
    if ( $table_row ) :
        $content .= '<table style="display:none;"><tbody id="com-reply"><tr id="replyrow" style="display:none;"><td colspan="'.$wp_list_table->get_column_count().'" class="colspanchange">';
    else :
        $content .= '<div id="com-reply" style="display:none;"><div id="replyrow" style="display:none;">';
    endif;

    $content .= '
            <div id="replyhead" style="display:none;"><h5>Reply to Comment</h5></div>
            <div id="addhead" style="display:none;"><h5>Add new Comment</h5></div>
            <div id="edithead" style="display:none;">';

    $content .= '  
                <div class="inside">
                    <label for="author">Name</label>
                    <input type="text" name="newcomment_author" size="50" value="" tabindex="101" id="author" />
                </div>

                <div class="inside">
                    <label for="author-email">E-mail</label>
                    <input type="text" name="newcomment_author_email" size="50" value="" tabindex="102" id="author-email" />
                </div>

                <div class="inside">
                    <label for="author-url">URL</label>
                    <input type="text" id="author-url" name="newcomment_author_url" size="103" value="" tabindex="103" />
                </div>';

    // Add new quick edit fields       
    $content .= '
                <div class="inside">
                    <label for="comment-meta-mycustommeta">Winner</label>
                    <input type="text" id="comment-meta-mycustommeta" name="comment-meta-mycustommeta" size="50" value="" tabindex="104" />
                    <a onclick="saveCommentMeta();" class="button-secondary save-mycustommeta" href="#">'.__( 'Save' ).'</a>
                </div>

                <div style="clear:both;"></div>

            </div>';

    // Add editor
    $content .= "<div id='replycontainer'>\n";   
    $content .= $editorStr;
    $content .= "</div>\n";  

    $content .= '          
            <p id="replysubmit" class="submit">
            <a href="#comments-form" class="cancel button-secondary alignleft" tabindex="107">Cancel</a>
            <a href="#comments-form" class="save button-primary alignright" tabindex="106">
            <span id="addbtn" style="display:none;">Add Comment</span>
            <span id="savebtn" style="display:none;">Update Comment</span>
            <span id="replybtn" style="display:none;">Submit Reply</span></a>
            <img class="waiting" style="display:none;" src="'.esc_url( admin_url( "images/wpspin_light.gif" ) ).'" alt="" />
            <span class="error" style="display:none;"></span>
            <br class="clear" />
            </p>';

        $content .= '
            <input type="hidden" name="user_ID" id="user_ID" value="'.get_current_user_id().'" />
            <input type="hidden" name="action" id="action" value="" />
            <input type="hidden" name="comment_ID" id="comment_ID" value="" />
            <input type="hidden" name="comment_post_ID" id="comment_post_ID" value="" />
            <input type="hidden" name="status" id="status" value="" />
            <input type="hidden" name="position" id="position" value="'.$position.'" />
            <input type="hidden" name="checkbox" id="checkbox" value="';

    if ($checkbox) $content .= '1'; else $content .=  '0';
    $content .= "\" />\n";
        $content .= '<input type="hidden" name="mode" id="mode" value="'.esc_attr( $mode ).'" />';

    $content .= $nonceStr;
    $content .="\n";

    if ( $table_row ) :
        $content .= '</td></tr></tbody></table>';
    else :
        $content .= '</div></div>';
    endif;
    $content .= "\n</form>\n";
    return $content;
}

And should produce, something like this..

First time i've written code for the quick edit box on the comments page, so excuse any areas that could use improvement(there's always room for it), i don't have alot of time to spend going over the code and making refinements at the moment.

Good luck, and i hope that's been helpful.

Oh, and quick mention for Shibashake's guide to messing with the Quick Edit, i used some of his code to put this together, so definitely deserving of some link juice.

Shibashake - Expand the WordPress Comments Quick Edit Menu