im imagine this is common but why?

[cd34]

It is called joe-jobbing. Basically your email address + perhaps your address book may have been leaked. By using your domain in the return address, they hope that the 'open' rate will be higher - it is if they happen to get your address book. Even if not, any bounces don't go back to them, but to you.

The easiest way to prevent this is to avoid using wildcard emails, i.e. anything@domain.com forwards through to your main mailbox.

Setting up your email to answer only to webmaster@ or even disabling email on domains that will never send mail cuts down on it. Using SPF records can also prevent some of this - it seems that most spammers aren't using SPF-enabled domains as often as they use domains without, and they don't appear to be touching DKIM enabled domains (Microsoft's key-based signature system).