I am having this problem too. It appears that there may be a 2MB file size limit on the export/import WXR file. When I tried to export my blog entries, dating between July 2003 and September 2008, the WXR file only had entries up to part of 2005. Right now I'm accessing the blog on a flash drive and am using the WordPress.com service.
My solution, which will take a lot of extra work, is to break the MySQL file into two or three smaller chunks and export those. The WordPress Codex provides instructions on how to import a WXR file that's too large.
I think this is definitely a problem that WordPress developers may not have foreseen, that some of us with large blogs may only be able to use the MySQL route in connection with WXR or instead of to successfully export/import our blogs.