I noticed this while trying to delete trackback spam on my blog: If I set the no.of posts displayed on the blog = say 9, and in the admin, I choose a certain month for displaying posts, it only displays 9 posts while I have lot more. (I'm using an early version of WordPress 1.3 alpha).
This is awfully inconvenient for administration as I have to temporarily set it to say 60 or something and during the time this is set, my site visitors will see 60 posts on the main page!