The dropdowns in data|filter|autofilter have a limit of 1000 unique entries.
You can filter (using the custom option) on other values--but only 1000 will
show in the dropdown.

If you're filtering correctly, but some rows aren't included, make sure you
select your complete range before applying the data|Filter|autofilter.

If you let excel guess at the range and you have an empty row/column, xl may not
guess what you really want.

Debra Dalgleish has some work arounds for that 1000 limit:
http://www.contextures.com/xlautofilter02.html#Limits


Andy wrote:

Frequently when using large Excel files (60K rows by 40 columns), when
applying filter criteria, it does now always seem to filter correctly. Either
filters nothing, parts of the column etc, yet the filter is DEINFTELY applied
correctly. This occurs when filtering using both the drop down filter, as
well as the custom method.

--

Dave Peterson